Trend-Following Backtester · Guide · backtest 한국어
etf · US
Global X Uranium ETF backtest
10 trend-following strategies were compared on the full daily history of Global X Uranium 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 2.9%, MDD -19.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.0%, drawdown -94.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.9%, MDD -19.3%, Sharpe 0.32, 6% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.9%p higher than buy and hold, while drawdown improves by 75.4%p (CAGR 2.9%, MDD -19.3%, exposure 6%).
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=56, k=3.5 |
2.9% | -19.3% | 0.32 | 0.15 | 1.6x | 6 | 6% |
| Donchian 채널 돌파 entryN=154, exitN=70 |
2.6% | -44.6% | 0.22 | 0.06 | 1.5x | 12 | 26% |
| ADX / DI 방향성 period=26, threshold=16 |
2.2% | -63.3% | 0.21 | 0.03 | 1.4x | 94 | 23% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=24, mult=1.8 |
1.7% | -61.1% | 0.19 | 0.03 | 1.3x | 86 | 31% |
| EMA 크로스오버 fast=44, slow=231 |
1.5% | -47.8% | 0.18 | 0.03 | 1.3x | 16 | 33% |
| Supertrend period=15, mult=3.6 |
-0.6% | -64.8% | 0.10 | -0.01 | 0.9x | 96 | 43% |
| SMA 크로스오버 fast=7, slow=193 |
-0.8% | -73.3% | 0.09 | -0.01 | 0.9x | 54 | 37% |
| ROC 모멘텀 n=149, threshold=0.06 |
-1.0% | -75.0% | 0.07 | -0.01 | 0.9x | 120 | 30% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-1.4% | -72.4% | 0.07 | -0.02 | 0.8x | 124 | 47% |
| MACD fast=17, slow=55, signal=18 |
-2.6% | -64.7% | 0.02 | -0.04 | 0.7x | 174 | 49% |
| Buy and hold | -6.0% | -94.7% | 0.02 | -0.06 | 0.4x | 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 56-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 56-day middle average