Trend-Following Backtester · Guide · backtest 한국어
etf · US
SP Funds Dow Jones Global Sukuk ETF backtest
10 trend-following strategies were compared on the full daily history of SP Funds Dow Jones Global Sukuk ETF. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.0%, MDD -1.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.9%, drawdown -16.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.6%, MDD -4.8%, Sharpe 0.17, 49% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 11.6%p (CAGR 0.0%, MDD -1.7%, exposure 5%).
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=34, threshold=23 |
0.6% | -4.8% | 0.17 | 0.13 | 1.0x | 12 | 49% |
| Donchian 채널 돌파 entryN=39, exitN=51 |
0.2% | -3.2% | 0.10 | 0.06 | 1.0x | 4 | 24% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=24, mult=2.5 |
0.0% | -1.7% | 0.01 | 0.01 | 1.0x | 2 | 5% |
| 볼린저 밴드 돌파 n=52, k=2.8 |
-0.1% | -1.9% | -0.03 | -0.03 | 1.0x | 2 | 3% |
| SMA 크로스오버 fast=32, slow=114 |
-0.3% | -6.3% | -0.08 | -0.05 | 1.0x | 10 | 41% |
| EMA 크로스오버 fast=29, slow=60 |
-0.4% | -7.7% | -0.09 | -0.05 | 1.0x | 12 | 42% |
| Supertrend period=14, mult=4.3 |
-0.5% | -10.1% | -0.09 | -0.05 | 1.0x | 8 | 55% |
| ROC 모멘텀 n=148, threshold=-0.06 |
-1.1% | -10.9% | -0.20 | -0.10 | 0.9x | 3 | 81% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-2.7% | -16.7% | -0.72 | -0.16 | 0.8x | 46 | 38% |
| MACD fast=14, slow=49, signal=19 |
-6.3% | -37.6% | -1.45 | -0.17 | 0.7x | 84 | 50% |
| Buy and hold | -1.9% | -16.5% | -0.32 | -0.11 | 0.9x | 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, 34-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)