Trend-Following Backtester · Guide · backtest 한국어
etf · JP
Global X Japan Leisure & Entertainment ETF backtest
10 trend-following strategies were compared on the full daily history of Global X Japan Leisure & Entertainment ETF. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.8%, MDD -16.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 7.8%, drawdown -23.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.6%, MDD -16.7%, Sharpe 0.59, 65% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 9.1%, MDD -16.7%, exposure 83%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 6.6%p (CAGR 7.8%, MDD -16.7%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=31, slow=263 |
8.6% | -16.7% | 0.59 | 0.52 | 1.5x | 3 | 65% |
| ROC 모멘텀 n=144, threshold=-0.1 |
9.1% | -16.7% | 0.59 | 0.55 | 1.5x | 9 | 83% |
| SMA 크로스오버 fast=50, slow=171 |
7.8% | -16.7% | 0.58 | 0.47 | 1.5x | 5 | 56% |
| 볼린저 밴드 돌파 n=36, k=3 |
1.7% | -5.5% | 0.34 | 0.31 | 1.1x | 6 | 12% |
| ADX / DI 방향성 period=25, threshold=20 |
0.5% | -6.7% | 0.11 | 0.08 | 1.0x | 11 | 15% |
| Supertrend period=11, mult=4.8 |
-0.4% | -25.1% | 0.03 | -0.02 | 1.0x | 23 | 57% |
| Keltner 채널 돌파 emaPeriod=79, atrPeriod=18, mult=2.4 |
-0.7% | -17.2% | -0.01 | -0.04 | 1.0x | 21 | 40% |
| Donchian 채널 돌파 entryN=80, exitN=56 |
-1.5% | -23.9% | -0.05 | -0.06 | 0.9x | 9 | 45% |
| Parabolic SAR step=0.01, maxStep=0.16 |
-4.6% | -26.5% | -0.29 | -0.17 | 0.8x | 68 | 58% |
| MACD fast=19, slow=34, signal=24 |
-6.6% | -37.1% | -0.48 | -0.18 | 0.7x | 52 | 49% |
| Buy and hold | 7.8% | -23.3% | 0.48 | 0.33 | 1.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 31-day EMA crosses above the 263-day EMA
- Sell — Sell when the 31-day EMA falls below the 263-day EMA