Trend-Following Backtester · Guide · backtest 한국어
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JKO S&P GSCI Brent Crude 2x Leveraged ER Future s ETF backtest
10 trend-following strategies were compared on the full daily history of JKO S&P GSCI Brent Crude 2x Leveraged ER Future s ETF. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 19.0%, MDD -42.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR 9.7%, drawdown -93.7%).
Sharpe leader (same as main): Supertrend — CAGR 32.1%, MDD -63.1%, Sharpe 0.73, 45% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 22.4%p higher than buy and hold, while drawdown improves by 30.6%p (CAGR 19.0%, MDD -42.4%, exposure 14%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=27, mult=4.2 |
32.1% | -63.1% | 0.73 | 0.51 | 11.3x | 61 | 45% |
| Donchian 채널 돌파 entryN=14, exitN=19 |
25.8% | -65.2% | 0.69 | 0.39 | 7.4x | 55 | 61% |
| 볼린저 밴드 돌파 n=44, k=1.5 |
21.0% | -53.3% | 0.64 | 0.39 | 5.3x | 42 | 35% |
| ADX / DI 방향성 period=37, threshold=18 |
19.0% | -42.4% | 0.62 | 0.45 | 4.5x | 16 | 14% |
| Parabolic SAR step=0.01, maxStep=0.1 |
22.3% | -79.1% | 0.60 | 0.28 | 5.8x | 85 | 50% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=8, mult=4 |
16.6% | -57.0% | 0.56 | 0.29 | 3.8x | 34 | 28% |
| MACD fast=11, slow=54, signal=11 |
14.0% | -81.1% | 0.52 | 0.17 | 3.1x | 117 | 53% |
| EMA 크로스오버 fast=10, slow=38 |
13.7% | -74.0% | 0.51 | 0.19 | 3.1x | 61 | 50% |
| SMA 크로스오버 fast=13, slow=184 |
13.8% | -66.1% | 0.51 | 0.21 | 3.1x | 19 | 42% |
| ROC 모멘텀 n=30, threshold=0.1 |
13.0% | -68.1% | 0.49 | 0.19 | 2.9x | 151 | 36% |
| Buy and hold | 9.7% | -93.7% | 0.51 | 0.10 | 2.2x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 27-day volatility, 4.2× band
- Sell — Sell when price drops below the trend line (flips down)