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. 1 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 7.4%, MDD -20.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.7%, drawdown -62.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.4%, MDD -20.0%, Sharpe 0.58, 31% exposure.
CAGR reference leader: Supertrend — CAGR 7.8%, MDD -31.4%, exposure 57%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 42.6%p (CAGR 7.4%, MDD -20.0%, exposure 31%).
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=2.2 |
7.4% | -20.0% | 0.58 | 0.37 | 3.0x | 66 | 31% |
| Supertrend period=13, mult=5 |
7.8% | -31.4% | 0.49 | 0.25 | 3.2x | 61 | 57% |
| MACD fast=10, slow=43, signal=24 |
7.4% | -32.7% | 0.47 | 0.23 | 3.0x | 181 | 48% |
| Donchian 채널 돌파 entryN=33, exitN=23 |
5.6% | -35.7% | 0.39 | 0.16 | 2.3x | 69 | 50% |
| SMA 크로스오버 fast=42, slow=217 |
6.1% | -43.3% | 0.39 | 0.14 | 2.5x | 23 | 63% |
| EMA 크로스오버 fast=61, slow=197 |
5.5% | -43.1% | 0.36 | 0.13 | 2.3x | 17 | 60% |
| Parabolic SAR step=0.005, maxStep=0.04 |
5.3% | -41.4% | 0.36 | 0.13 | 2.2x | 116 | 56% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=24, mult=1.8 |
1.9% | -39.1% | 0.20 | 0.05 | 1.3x | 102 | 44% |
| ROC 모멘텀 n=145, threshold=0.02 |
0.8% | -59.7% | 0.14 | 0.01 | 1.1x | 153 | 56% |
| ADX / DI 방향성 period=37, threshold=9 |
-1.3% | -48.5% | 0.02 | -0.03 | 0.8x | 174 | 47% |
| Buy and hold | 7.7% | -62.6% | 0.40 | 0.12 | 3.1x | 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 (2.2× volatility)
- Sell — Sell when the close falls back to the 36-day middle average