Trend-Following Backtester · Guide · backtest 한국어
etf · US
ROBO Global Robotics and Automation Index ETF backtest
10 trend-following strategies were compared on the full daily history of ROBO Global Robotics and Automation Index ETF. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 8.6%, MDD -32.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.4%, drawdown -43.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.4%, MDD -16.8%, Sharpe 0.66, 12% exposure.
CAGR reference leader: Supertrend — CAGR 8.6%, MDD -32.4%, exposure 62%.
Return/drawdown alternative: Supertrend — CAGR is 6.0%p lower than buy and hold, while drawdown improves by 26.9%p (CAGR 8.6%, MDD -32.4%, exposure 62%).
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=36, threshold=19 |
3.4% | -16.8% | 0.66 | 0.20 | 1.5x | 16 | 12% |
| Supertrend period=26, mult=4.3 |
8.6% | -32.4% | 0.65 | 0.27 | 2.9x | 66 | 62% |
| Donchian 채널 돌파 entryN=21, exitN=59 |
8.4% | -31.7% | 0.58 | 0.26 | 2.8x | 34 | 78% |
| EMA 크로스오버 fast=11, slow=191 |
5.6% | -40.5% | 0.44 | 0.14 | 2.0x | 35 | 65% |
| SMA 크로스오버 fast=30, slow=194 |
4.5% | -43.0% | 0.35 | 0.10 | 1.8x | 21 | 64% |
| ROC 모멘텀 n=127, threshold=0.11 |
2.9% | -33.2% | 0.32 | 0.09 | 1.5x | 78 | 33% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=22, mult=3.9 |
0.2% | -2.7% | 0.25 | 0.09 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=48, k=3.4 |
0.2% | -4.0% | 0.19 | 0.06 | 1.0x | 2 | 1% |
| MACD fast=6, slow=17, signal=9 |
0.7% | -34.5% | 0.12 | 0.02 | 1.1x | 336 | 50% |
| Parabolic SAR step=0.02, maxStep=0.14 |
0.1% | -41.9% | 0.08 | 0.00 | 1.0x | 268 | 57% |
| Buy and hold | 9.4% | -43.7% | 0.52 | 0.21 | 3.2x | 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, 36-day) is ≥ 19
- Sell — Sell when direction flips or the trend weakens (ADX < 19)