Trend-Following Backtester · Guide · backtest 한국어
etf · US
Global X Russell 2000 Covered Call ETF backtest
10 trend-following strategies were compared on the full daily history of Global X Russell 2000 Covered Call ETF. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.1%, MDD -0.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.3%, drawdown -48.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 2.2%, MDD -5.5%, Sharpe 0.52, 11% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.5%p higher than buy and hold, while drawdown improves by 42.8%p (CAGR 0.1%, MDD -0.5%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=136, threshold=0.11 |
2.2% | -5.5% | 0.52 | 0.40 | 1.2x | 10 | 11% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=64, mult=4 |
0.9% | -4.9% | 0.27 | 0.18 | 1.1x | 2 | 6% |
| Donchian 채널 돌파 entryN=66, exitN=64 |
1.3% | -13.8% | 0.20 | 0.09 | 1.1x | 10 | 39% |
| ADX / DI 방향성 period=20, threshold=27 |
0.1% | -0.5% | 0.17 | 0.13 | 1.0x | 2 | 0% |
| SMA 크로스오버 fast=44, slow=222 |
0.9% | -16.7% | 0.16 | 0.05 | 1.1x | 7 | 31% |
| Supertrend period=27, mult=4.8 |
0.1% | -20.2% | 0.05 | 0.00 | 1.0x | 20 | 39% |
| EMA 크로스오버 fast=14, slow=108 |
-0.6% | -16.5% | -0.04 | -0.04 | 1.0x | 16 | 40% |
| 볼린저 밴드 돌파 n=36, k=2.7 |
-0.3% | -6.1% | -0.13 | -0.04 | 1.0x | 4 | 3% |
| MACD fast=26, slow=86, signal=41 |
-4.3% | -41.0% | -0.48 | -0.10 | 0.7x | 40 | 54% |
| Parabolic SAR step=0.005, maxStep=0.02 |
-5.9% | -41.4% | -0.65 | -0.14 | 0.6x | 48 | 57% |
| Buy and hold | -6.3% | -48.4% | -0.29 | -0.13 | 0.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 136-day return is greater than 11%
- Sell — Sell when the 136-day return drops to 11% or below