Trend-Following Backtester · Guide · backtest 한국어
etf · JP
Global X Japan Games & Animation ETF backtest
10 trend-following strategies were compared on the full daily history of Global X Japan Games & Animation ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.9%, MDD -17.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.9%, drawdown -33.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.9%, MDD -17.3%, Sharpe 0.58, 69% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.0%p lower than buy and hold, while drawdown improves by 16.2%p (CAGR 8.9%, MDD -17.3%, exposure 69%).
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=15, exitN=32 |
8.9% | -17.3% | 0.58 | 0.51 | 1.5x | 19 | 69% |
| SMA 크로스오버 fast=23, slow=126 |
7.4% | -18.1% | 0.52 | 0.41 | 1.4x | 10 | 58% |
| Supertrend period=37, mult=4.2 |
6.6% | -20.7% | 0.50 | 0.32 | 1.4x | 23 | 54% |
| EMA 크로스오버 fast=49, slow=137 |
6.7% | -20.4% | 0.48 | 0.33 | 1.4x | 8 | 59% |
| ROC 모멘텀 n=96, threshold=-0.03 |
1.7% | -30.7% | 0.19 | 0.05 | 1.1x | 29 | 68% |
| 볼린저 밴드 돌파 n=23, k=2.1 |
0.2% | -19.3% | 0.07 | 0.01 | 1.0x | 33 | 26% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-0.9% | -23.2% | 0.01 | -0.04 | 1.0x | 47 | 50% |
| ADX / DI 방향성 period=28, threshold=22 |
-0.6% | -10.7% | -0.06 | -0.06 | 1.0x | 4 | 8% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=9, mult=1.2 |
-2.8% | -35.0% | -0.16 | -0.08 | 0.9x | 61 | 36% |
| MACD fast=18, slow=69, signal=21 |
-4.1% | -34.2% | -0.23 | -0.12 | 0.8x | 51 | 46% |
| Buy and hold | 8.9% | -33.5% | 0.50 | 0.26 | 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 15 days
- Sell — Sell when price breaks below the lowest low of the last 32 days