Trend-Following Backtester · Guide · backtest 한국어
etf · US
Global X SuperDividend ETF backtest
10 trend-following strategies were compared on the full daily history of Global X SuperDividend ETF. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.0%, MDD -1.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.0%, drawdown -77.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.0%, MDD -1.9%, Sharpe 0.05, 1% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.1%p higher than buy and hold, while drawdown improves by 75.1%p (CAGR 0.0%, MDD -1.9%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=18, k=3 |
0.0% | -1.9% | 0.05 | 0.01 | 1.0x | 2 | 1% |
| ADX / DI 방향성 period=28, threshold=22 |
0.0% | -11.9% | 0.02 | 0.00 | 1.0x | 16 | 4% |
| ROC 모멘텀 n=42, threshold=0.13 |
-0.1% | -18.4% | 0.00 | -0.00 | 1.0x | 32 | 3% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=10, mult=2.7 |
-0.1% | -13.5% | -0.02 | -0.01 | 1.0x | 22 | 5% |
| SMA 크로스오버 fast=14, slow=160 |
-0.7% | -31.3% | -0.04 | -0.02 | 0.9x | 34 | 43% |
| Donchian 채널 돌파 entryN=48, exitN=103 |
-1.6% | -40.8% | -0.10 | -0.04 | 0.8x | 25 | 58% |
| EMA 크로스오버 fast=31, slow=170 |
-1.3% | -27.5% | -0.14 | -0.05 | 0.8x | 22 | 39% |
| Supertrend period=9, mult=3.9 |
-1.9% | -33.9% | -0.16 | -0.06 | 0.7x | 86 | 47% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-2.5% | -39.0% | -0.18 | -0.06 | 0.7x | 133 | 53% |
| MACD fast=16, slow=22, signal=17 |
-3.8% | -55.5% | -0.30 | -0.07 | 0.6x | 213 | 51% |
| Buy and hold | -7.0% | -77.0% | -0.30 | -0.09 | 0.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 18-day average (3× volatility)
- Sell — Sell when the close falls back to the 18-day middle average