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. 8 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 -1.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -6.0%, drawdown -48.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 1.8%, MDD -5.5%, Sharpe 0.43, 11% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.8%p higher than buy and hold, while drawdown improves by 42.8%p (CAGR -0.1%, MDD -1.5%, 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=141, threshold=0.12 |
1.8% | -5.5% | 0.43 | 0.32 | 1.1x | 8 | 11% |
| Donchian 채널 돌파 entryN=79, exitN=67 |
1.1% | -12.5% | 0.18 | 0.09 | 1.1x | 9 | 35% |
| SMA 크로스오버 fast=21, slow=164 |
0.5% | -17.5% | 0.10 | 0.03 | 1.0x | 11 | 36% |
| Supertrend period=25, mult=4.8 |
-0.0% | -19.9% | 0.04 | -0.00 | 1.0x | 19 | 38% |
| EMA 크로스오버 fast=37, slow=103 |
-0.4% | -16.9% | -0.01 | -0.02 | 1.0x | 11 | 38% |
| ADX / DI 방향성 period=27, threshold=18 |
-0.1% | -1.5% | -0.12 | -0.08 | 1.0x | 4 | 0% |
| 볼린저 밴드 돌파 n=37, k=2.6 |
-0.3% | -6.1% | -0.13 | -0.04 | 1.0x | 4 | 4% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=34, mult=3.4 |
-0.6% | -6.9% | -0.32 | -0.09 | 1.0x | 4 | 4% |
| MACD fast=19, slow=55, signal=19 |
-9.5% | -56.0% | -1.17 | -0.17 | 0.5x | 90 | 53% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-11.5% | -59.9% | -1.34 | -0.19 | 0.4x | 88 | 57% |
| Buy and hold | -6.0% | -48.4% | -0.27 | -0.12 | 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 141-day return is greater than 12%
- Sell — Sell when the 141-day return drops to 12% or below