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Trend-Following Backtester · Guide · backtest 한국어

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iFreeETF China GBA100 backtest

10 trend-following strategies were compared on the full daily history of iFreeETF China GBA100. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 28.2%, MDD -28.9%).

Data 2021-03-22 ~ 2026-08-31daily bars 1,331 (5.4 years)Costs 0.5%Venue TSEMonthly snapshot 2026-08-31

Results by strategy

5 of 10 beat buy and hold (CAGR 5.5%, drawdown -76.6%).

Sharpe leader (same as main): Supertrend — CAGR 32.0%, MDD -54.7%, Sharpe 0.73, 47% exposure.

Return/drawdown alternative: ROC 모멘텀 — CAGR is 26.5%p higher than buy and hold, while drawdown improves by 21.9%p (CAGR 28.2%, MDD -28.9%, exposure 2%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Supertrend
period=16, mult=3.7
32.0%-54.7%0.730.594.5x2547%
ROC 모멘텀
n=1, threshold=0.05
28.2%-28.9%0.680.983.9x222%
Keltner 채널 돌파
emaPeriod=11, atrPeriod=17, mult=1.2
17.9%-59.4%0.540.302.5x5223%
볼린저 밴드 돌파
n=16, k=2.3
14.2%-68.8%0.490.212.1x3017%
ADX / DI 방향성
period=39, threshold=14
6.8%-76.6%0.390.091.4x1041%
Donchian 채널 돌파
entryN=119, exitN=6
5.1%-69.5%0.340.071.3x105%
SMA 크로스오버
fast=64, slow=285
3.4%-76.6%0.340.041.2x747%
MACD
fast=19, slow=59, signal=19
3.3%-75.8%0.340.041.2x4941%
Parabolic SAR
step=0.015, maxStep=0.36
2.2%-61.0%0.310.041.1x9747%
EMA 크로스오버
fast=51, slow=212
-2.4%-76.6%0.25-0.030.9x941%
Buy and hold5.5%-76.6%0.380.071.3x1100%
1x 2022 2023 2024 2025 2026 SupertrendBuy and hold
Supertrend: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -19% -38% -57% -77% 2022 2023 2024 2025 2026 Buy and holdSupertrend
Supertrend maximum drawdown -54.7% (2025-09-30 → 2026-07-17), prior peak not yet recovered.

Rules of the top strategy

Trades the direction of a volatility-based trend line that trails below/above price.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupMore JP assetsAll asset reports

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