Trend-Following Backtester · Guide · backtest 한국어
etf · US
Global X MSCI Colombia ETF backtest
10 trend-following strategies were compared on the full daily history of Global X MSCI Colombia ETF. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.5%, MDD -33.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR 2.4%, drawdown -83.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.5%, MDD -33.3%, Sharpe 0.53, 43% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 7.5%, MDD -39.4%, exposure 62%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 49.8%p (CAGR 6.5%, MDD -33.3%, exposure 43%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=8, mult=1.3 |
6.5% | -33.3% | 0.53 | 0.19 | 3.0x | 132 | 43% |
| Donchian 채널 돌파 entryN=34, exitN=53 |
7.5% | -39.4% | 0.51 | 0.19 | 3.6x | 43 | 62% |
| 볼린저 밴드 돌파 n=44, k=1 |
6.0% | -33.5% | 0.49 | 0.18 | 2.8x | 118 | 44% |
| SMA 크로스오버 fast=37, slow=47 |
6.0% | -50.7% | 0.44 | 0.12 | 2.8x | 123 | 55% |
| Supertrend period=14, mult=3.6 |
5.5% | -37.2% | 0.42 | 0.15 | 2.6x | 114 | 53% |
| ROC 모멘텀 n=69, threshold=-0.01 |
4.2% | -51.3% | 0.34 | 0.08 | 2.1x | 157 | 59% |
| EMA 크로스오버 fast=53, slow=57 |
3.1% | -65.9% | 0.28 | 0.05 | 1.7x | 43 | 56% |
| ADX / DI 방향성 period=19, threshold=31 |
1.1% | -25.6% | 0.24 | 0.04 | 1.2x | 26 | 6% |
| Parabolic SAR step=0.015, maxStep=0.18 |
1.0% | -49.7% | 0.15 | 0.02 | 1.2x | 304 | 53% |
| MACD fast=14, slow=30, signal=5 |
0.9% | -60.7% | 0.14 | 0.01 | 1.2x | 354 | 50% |
| Buy and hold | 2.4% | -83.1% | 0.22 | 0.03 | 1.5x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 38-day average + 1.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 38-day average