Trend-Following Backtester · Guide · backtest 한국어

etf · US

Global X U.S. Infrastructure Development ETF backtest

10 trend-following strategies were compared on the full daily history of Global X U.S. Infrastructure Development ETF. 1 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 15.5%, MDD -23.3%).

Data 2017-03-08 ~ 2026-07-31daily bars 2,363 (9.4 years)Costs 0.5%Venue ARCXMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 15.3%, drawdown -44.1%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.5%, MDD -23.3%, Sharpe 0.85, 85% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 20.8%p (CAGR 15.5%, MDD -23.3%, exposure 85%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=27, exitN=90
15.5%-23.3%0.850.663.9x1185%
ROC 모멘텀
Hold-like · Exposure 97%
n=8, threshold=-0.08
15.2%-34.3%0.780.443.8x3997%
SMA 크로스오버
fast=54, slow=75
9.9%-26.5%0.660.372.4x3766%
Supertrend
period=11, mult=4.5
8.3%-24.6%0.590.342.1x3765%
EMA 크로스오버
fast=55, slow=124
8.3%-35.4%0.540.242.1x1376%
MACD
fast=18, slow=29, signal=12
6.9%-22.2%0.510.311.9x13051%
Parabolic SAR
step=0.02, maxStep=0.08
4.8%-33.7%0.370.141.5x16660%
Keltner 채널 돌파
emaPeriod=33, atrPeriod=29, mult=1.9
3.8%-18.8%0.360.201.4x6843%
볼린저 밴드 돌파
n=36, k=1.3
2.4%-27.5%0.240.091.2x8650%
ADX / DI 방향성
period=37, threshold=12
0.9%-25.0%0.130.041.1x5838%
Buy and hold15.3%-44.1%0.710.353.8x1100%
1x 2018 2020 2022 2024 2026 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -11% -22% -33% -44% 2018 2020 2022 2024 2026 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -23.3% (2022-01-04 → 2022-09-27), recovered after 423 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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