Trend-Following Backtester · Guide · backtest 한국어
etf · US
Global X Copper Miners ETF backtest
10 trend-following strategies were compared on the full daily history of Global X Copper Miners ETF. 6 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 4.5%, MDD -21.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR 3.6%, drawdown -85.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.5%, MDD -21.4%, Sharpe 0.43, 12% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 7.6%, MDD -47.2%, exposure 58%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 64.0%p (CAGR 4.5%, MDD -21.4%, exposure 12%).
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=24, k=2.6 |
4.5% | -21.4% | 0.43 | 0.21 | 2.0x | 42 | 12% |
| ROC 모멘텀 n=79, threshold=-0.03 |
7.6% | -47.2% | 0.42 | 0.16 | 3.3x | 151 | 58% |
| Donchian 채널 돌파 entryN=89, exitN=31 |
5.8% | -42.2% | 0.41 | 0.14 | 2.5x | 38 | 31% |
| SMA 크로스오버 fast=32, slow=40 |
7.0% | -56.2% | 0.40 | 0.12 | 3.0x | 138 | 52% |
| EMA 크로스오버 fast=44, slow=152 |
5.7% | -49.3% | 0.35 | 0.12 | 2.5x | 23 | 51% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=29, mult=3.5 |
3.7% | -44.1% | 0.30 | 0.08 | 1.8x | 58 | 29% |
| ADX / DI 방향성 period=38, threshold=13 |
2.9% | -41.5% | 0.25 | 0.07 | 1.6x | 74 | 23% |
| Supertrend period=23, mult=2.4 |
2.7% | -73.5% | 0.23 | 0.04 | 1.6x | 220 | 51% |
| Parabolic SAR step=0.03, maxStep=0.1 |
1.1% | -61.1% | 0.17 | 0.02 | 1.2x | 319 | 52% |
| MACD fast=16, slow=28, signal=7 |
0.2% | -75.9% | 0.13 | 0.00 | 1.0x | 305 | 51% |
| Buy and hold | 3.6% | -85.4% | 0.28 | 0.04 | 1.8x | 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 24-day average (2.6× volatility)
- Sell — Sell when the close falls back to the 24-day middle average