Trend-Following Backtester · Guide · backtest 한국어
etf · US
Global X MSCI Argentina ETF backtest
10 trend-following strategies were compared on the full daily history of Global X MSCI Argentina ETF. 3 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.0%, MDD -30.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.9%, drawdown -62.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.0%, MDD -30.6%, Sharpe 0.58, 38% exposure.
CAGR reference leader: MACD — CAGR 8.4%, MDD -36.3%, exposure 49%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 32.0%p (CAGR 8.0%, MDD -30.6%, exposure 38%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=36, k=1.7 |
8.0% | -30.6% | 0.58 | 0.26 | 3.3x | 92 | 38% |
| MACD fast=19, slow=42, signal=31 |
8.4% | -36.3% | 0.52 | 0.23 | 3.5x | 134 | 49% |
| Supertrend period=13, mult=5 |
7.0% | -34.8% | 0.45 | 0.20 | 2.9x | 62 | 58% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=21, mult=3.2 |
4.4% | -20.9% | 0.40 | 0.21 | 1.9x | 62 | 28% |
| Donchian 채널 돌파 entryN=38, exitN=17 |
4.8% | -33.8% | 0.38 | 0.14 | 2.1x | 76 | 41% |
| SMA 크로스오버 fast=37, slow=273 |
5.5% | -43.6% | 0.36 | 0.13 | 2.3x | 21 | 61% |
| EMA 크로스오버 fast=54, slow=195 |
5.2% | -46.1% | 0.35 | 0.11 | 2.2x | 17 | 60% |
| ROC 모멘텀 n=140, threshold=-0.03 |
5.2% | -42.4% | 0.34 | 0.12 | 2.2x | 107 | 67% |
| Parabolic SAR step=0.005, maxStep=0.04 |
4.5% | -41.4% | 0.32 | 0.11 | 2.0x | 118 | 56% |
| ADX / DI 방향성 period=35, threshold=27 |
0.1% | -8.3% | 0.05 | 0.01 | 1.0x | 4 | 1% |
| Buy and hold | 6.9% | -62.6% | 0.37 | 0.11 | 2.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 36-day average (1.7× volatility)
- Sell — Sell when the close falls back to the 36-day middle average