Trend-Following Backtester · Guide · backtest 한국어
etf · US
Global X MLP ETF backtest
10 trend-following strategies were compared on the full daily history of Global X MLP ETF. 8 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 1.4%, MDD -10.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR -3.2%, drawdown -86.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 3.1%, MDD -24.4%, Sharpe 0.31, 56% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 6.4%p higher than buy and hold, while drawdown improves by 61.8%p (CAGR 1.4%, MDD -10.8%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=61, slow=189 |
3.1% | -24.4% | 0.31 | 0.13 | 1.6x | 9 | 56% |
| SMA 크로스오버 fast=53, slow=376 |
2.7% | -20.6% | 0.28 | 0.13 | 1.5x | 7 | 48% |
| 볼린저 밴드 돌파 n=53, k=3.1 |
1.6% | -12.6% | 0.28 | 0.12 | 1.2x | 8 | 7% |
| ROC 모멘텀 n=13, threshold=0.17 |
1.4% | -10.8% | 0.28 | 0.13 | 1.2x | 20 | 1% |
| Donchian 채널 돌파 entryN=15, exitN=64 |
0.1% | -57.2% | 0.09 | 0.00 | 1.0x | 39 | 78% |
| ADX / DI 방향성 period=39, threshold=24 |
0.1% | -11.2% | 0.04 | 0.01 | 1.0x | 4 | 4% |
| Supertrend period=9, mult=4.1 |
-1.6% | -45.1% | -0.04 | -0.03 | 0.8x | 67 | 52% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=23, mult=3.7 |
-1.0% | -33.3% | -0.09 | -0.03 | 0.9x | 22 | 12% |
| MACD fast=14, slow=42, signal=19 |
-3.5% | -64.6% | -0.15 | -0.05 | 0.6x | 163 | 49% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-4.2% | -72.2% | -0.20 | -0.06 | 0.5x | 237 | 54% |
| Buy and hold | -3.2% | -86.2% | 0.01 | -0.04 | 0.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 61-day EMA crosses above the 189-day EMA
- Sell — Sell when the 61-day EMA falls below the 189-day EMA