Trend-Following Backtester · Guide · backtest 한국어
etf · US
Global X Super Dividend ETF backtest
10 trend-following strategies were compared on the full daily history of Global X Super Dividend ETF. 7 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 0.4%, MDD -3.1%).
Results by strategy
7 of 10 beat buy and hold (CAGR -2.2%, drawdown -62.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.4%, MDD -3.1%, Sharpe 0.38, 1% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 0.9%, MDD -22.4%, exposure 49%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 59.4%p (CAGR 0.4%, MDD -3.1%, exposure 1%).
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=29, k=3.3 |
0.4% | -3.1% | 0.38 | 0.12 | 1.1x | 2 | 1% |
| ROC 모멘텀 n=87, threshold=0.13 |
0.9% | -4.6% | 0.37 | 0.19 | 1.1x | 12 | 4% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=26, mult=4 |
0.5% | -12.3% | 0.18 | 0.04 | 1.1x | 12 | 9% |
| Donchian 채널 돌파 entryN=64, exitN=75 |
0.9% | -22.4% | 0.17 | 0.04 | 1.1x | 17 | 49% |
| SMA 크로스오버 fast=36, slow=158 |
0.8% | -28.9% | 0.14 | 0.03 | 1.1x | 19 | 52% |
| EMA 크로스오버 fast=68, slow=84 |
-0.0% | -25.5% | 0.04 | -0.00 | 1.0x | 17 | 52% |
| ADX / DI 방향성 period=29, threshold=20 |
0.0% | -8.6% | 0.03 | 0.00 | 1.0x | 18 | 6% |
| Supertrend period=10, mult=3.5 |
-2.4% | -38.5% | -0.23 | -0.06 | 0.7x | 80 | 54% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-4.1% | -47.8% | -0.40 | -0.09 | 0.6x | 172 | 55% |
| MACD fast=15, slow=24, signal=15 |
-4.6% | -55.4% | -0.44 | -0.08 | 0.5x | 196 | 51% |
| Buy and hold | -2.2% | -62.5% | -0.05 | -0.04 | 0.7x | 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 29-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 29-day middle average