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 15.0%, MDD -23.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 14.8%, drawdown -44.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.0%, MDD -23.3%, Sharpe 0.82, 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 15.0%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=27, exitN=90 |
15.0% | -23.3% | 0.82 | 0.64 | 3.8x | 11 | 85% |
| ROC 모멘텀 Hold-like · Exposure 97% n=8, threshold=-0.08 |
14.7% | -34.3% | 0.76 | 0.43 | 3.7x | 39 | 97% |
| SMA 크로스오버 fast=54, slow=75 |
9.5% | -26.5% | 0.63 | 0.36 | 2.4x | 37 | 66% |
| Supertrend period=11, mult=4.5 |
7.9% | -24.6% | 0.56 | 0.32 | 2.0x | 37 | 66% |
| EMA 크로스오버 fast=55, slow=124 |
7.9% | -35.4% | 0.52 | 0.22 | 2.1x | 13 | 76% |
| MACD fast=18, slow=29, signal=12 |
6.3% | -22.2% | 0.48 | 0.29 | 1.8x | 132 | 51% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=29, mult=1.9 |
3.8% | -18.8% | 0.35 | 0.20 | 1.4x | 68 | 43% |
| Parabolic SAR step=0.02, maxStep=0.08 |
4.3% | -33.7% | 0.34 | 0.13 | 1.5x | 168 | 60% |
| 볼린저 밴드 돌파 n=36, k=1.3 |
2.4% | -27.5% | 0.24 | 0.09 | 1.2x | 86 | 49% |
| ADX / DI 방향성 period=37, threshold=12 |
0.9% | -25.0% | 0.13 | 0.04 | 1.1x | 58 | 38% |
| Buy and hold | 14.8% | -44.1% | 0.69 | 0.33 | 3.7x | 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 27 days
- Sell — Sell when price breaks below the lowest low of the last 90 days