Trend-Following Backtester · Guide · backtest 한국어
etf · US
U.S. Global Jets ETF backtest
10 trend-following strategies were compared on the full daily history of U.S. Global Jets ETF. 3 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.3%, MDD -6.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 1.4%, drawdown -65.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.3%, MDD -6.0%, Sharpe 0.36, 3% exposure.
CAGR reference leader: MACD — CAGR 4.7%, MDD -48.0%, exposure 50%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 59.4%p (CAGR 1.3%, MDD -6.0%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=25, threshold=30 |
1.3% | -6.0% | 0.36 | 0.21 | 1.2x | 6 | 3% |
| MACD fast=7, slow=55, signal=17 |
4.7% | -48.0% | 0.32 | 0.10 | 1.7x | 164 | 50% |
| Supertrend period=25, mult=1.6 |
3.4% | -37.8% | 0.26 | 0.09 | 1.5x | 204 | 55% |
| Donchian 채널 돌파 entryN=13, exitN=55 |
2.0% | -56.4% | 0.20 | 0.04 | 1.3x | 45 | 78% |
| ROC 모멘텀 n=13, threshold=-0.04 |
1.0% | -44.1% | 0.17 | 0.02 | 1.1x | 206 | 76% |
| 볼린저 밴드 돌파 n=15, k=0.9 |
0.8% | -36.2% | 0.14 | 0.02 | 1.1x | 222 | 45% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=20, mult=2.7 |
0.1% | -30.6% | 0.06 | 0.00 | 1.0x | 32 | 10% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-1.5% | -61.0% | 0.04 | -0.03 | 0.8x | 104 | 54% |
| SMA 크로스오버 fast=33, slow=90 |
-2.0% | -47.1% | -0.01 | -0.04 | 0.8x | 39 | 54% |
| EMA 크로스오버 fast=14, slow=89 |
-4.6% | -60.4% | -0.16 | -0.08 | 0.6x | 57 | 54% |
| Buy and hold | 1.4% | -65.4% | 0.21 | 0.02 | 1.2x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 25-day) is ≥ 30
- Sell — Sell when direction flips or the trend weakens (ADX < 30)