Trend-Following Backtester · Guide · backtest 한국어
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Yuanta S&P GSCI Crude Oil 1x Inverse ER Futures ETF backtest
10 trend-following strategies were compared on the full daily history of Yuanta S&P GSCI Crude Oil 1x Inverse ER Futures ETF. 9 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 3.9%, MDD -32.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR -4.3%, drawdown -88.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.1%, MDD -75.0%, Sharpe 0.42, 66% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 18.4%p higher than buy and hold, while drawdown improves by 13.4%p (CAGR 3.9%, MDD -32.8%, exposure 7%).
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=14, exitN=54 |
14.1% | -75.0% | 0.42 | 0.19 | 3.7x | 43 | 66% |
| MACD fast=19, slow=44, signal=13 |
12.1% | -75.0% | 0.40 | 0.16 | 3.1x | 102 | 48% |
| ROC 모멘텀 n=73, threshold=-0.02 |
10.3% | -75.0% | 0.39 | 0.14 | 2.6x | 118 | 41% |
| SMA 크로스오버 fast=5, slow=44 |
9.2% | -75.9% | 0.38 | 0.12 | 2.4x | 80 | 38% |
| EMA 크로스오버 fast=11, slow=25 |
8.3% | -77.7% | 0.38 | 0.11 | 2.2x | 88 | 39% |
| Parabolic SAR step=0.005, maxStep=0.04 |
6.3% | -83.6% | 0.37 | 0.08 | 1.8x | 70 | 39% |
| ADX / DI 방향성 period=23, threshold=21 |
3.9% | -32.8% | 0.28 | 0.12 | 1.5x | 24 | 7% |
| 볼린저 밴드 돌파 n=32, k=1.9 |
-1.6% | -77.1% | 0.25 | -0.02 | 0.9x | 62 | 22% |
| Supertrend period=14, mult=3.6 |
-4.1% | -84.2% | 0.24 | -0.05 | 0.7x | 92 | 39% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=16, mult=1.2 |
-4.8% | -82.8% | 0.23 | -0.06 | 0.6x | 138 | 29% |
| Buy and hold | -4.3% | -88.4% | 0.31 | -0.05 | 0.7x | 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 14 days
- Sell — Sell when price breaks below the lowest low of the last 54 days