Trend-Following Backtester · Guide · backtest 한국어
etf · JP
Global X CleanTech Japan ETF backtest
10 trend-following strategies were compared on the full daily history of Global X CleanTech Japan ETF. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.9%, MDD -15.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 7.8%, drawdown -38.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.4%, MDD -20.8%, Sharpe 0.87, 28% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 13.1%, MDD -29.3%, exposure 53%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 17.9%p (CAGR 7.9%, MDD -15.3%, exposure 16%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=68, exitN=14 |
12.4% | -20.8% | 0.87 | 0.60 | 1.9x | 14 | 28% |
| 볼린저 밴드 돌파 n=44, k=3 |
6.6% | -12.8% | 0.74 | 0.52 | 1.4x | 4 | 14% |
| SMA 크로스오버 fast=39, slow=81 |
13.1% | -29.3% | 0.74 | 0.45 | 2.0x | 12 | 53% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=12, mult=3.2 |
9.3% | -19.1% | 0.71 | 0.49 | 1.6x | 14 | 27% |
| ADX / DI 방향성 period=33, threshold=16 |
7.9% | -15.3% | 0.67 | 0.51 | 1.5x | 10 | 16% |
| ROC 모멘텀 n=79, threshold=0.12 |
9.3% | -29.3% | 0.63 | 0.32 | 1.6x | 14 | 22% |
| EMA 크로스오버 fast=45, slow=205 |
8.4% | -29.3% | 0.53 | 0.29 | 1.6x | 5 | 40% |
| Supertrend period=37, mult=4.6 |
6.2% | -42.9% | 0.44 | 0.14 | 1.4x | 24 | 58% |
| MACD fast=39, slow=45, signal=25 |
2.3% | -40.2% | 0.22 | 0.06 | 1.1x | 42 | 53% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-0.5% | -42.0% | 0.05 | -0.01 | 1.0x | 46 | 56% |
| Buy and hold | 7.8% | -38.7% | 0.44 | 0.20 | 1.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 68 days
- Sell — Sell when price breaks below the lowest low of the last 14 days