Trend-Following Backtester · Guide · backtest 한국어
etf · HK
Global X S&P Crude Oil Futures Enhanced ER ETF backtest
10 trend-following strategies were compared on the full daily history of Global X S&P Crude Oil Futures Enhanced ER ETF. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.1%, MDD -26.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR 5.1%, drawdown -75.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.1%, MDD -26.9%, Sharpe 0.49, 34% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 48.6%p (CAGR 9.1%, MDD -26.9%, exposure 34%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=44, k=1.8 |
9.1% | -26.9% | 0.49 | 0.34 | 2.4x | 44 | 34% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=18, mult=4 |
8.9% | -28.2% | 0.49 | 0.32 | 2.4x | 34 | 30% |
| SMA 크로스오버 fast=11, slow=49 |
8.4% | -39.7% | 0.44 | 0.21 | 2.3x | 71 | 53% |
| EMA 크로스오버 fast=29, slow=109 |
8.0% | -45.4% | 0.42 | 0.18 | 2.2x | 21 | 48% |
| Donchian 채널 돌파 entryN=31, exitN=103 |
8.6% | -60.7% | 0.42 | 0.14 | 2.3x | 19 | 75% |
| ADX / DI 방향성 period=43, threshold=10 |
6.7% | -34.7% | 0.40 | 0.19 | 1.9x | 39 | 28% |
| Supertrend period=9, mult=4.8 |
6.3% | -56.4% | 0.36 | 0.11 | 1.9x | 77 | 52% |
| ROC 모멘텀 n=140, threshold=0.13 |
5.1% | -40.5% | 0.33 | 0.13 | 1.7x | 59 | 32% |
| MACD fast=18, slow=56, signal=19 |
5.1% | -62.2% | 0.32 | 0.08 | 1.7x | 91 | 54% |
| Parabolic SAR step=0.005, maxStep=0.3 |
5.0% | -49.9% | 0.32 | 0.10 | 1.6x | 73 | 49% |
| Buy and hold | 5.1% | -75.5% | 0.33 | 0.07 | 1.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 44-day average (1.8× volatility)
- Sell — Sell when the close falls back to the 44-day middle average