Trend-Following Backtester · Guide · backtest 한국어
etf · US
Global X Artificial Intelligence & Technology ETF backtest
10 trend-following strategies were compared on the full daily history of Global X Artificial Intelligence & Technology ETF. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 19.2%, MDD -24.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 19.1%, drawdown -44.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.2%, MDD -24.5%, Sharpe 1.01, 75% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 21.7%, MDD -37.2%, exposure 81%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 20.3%p (CAGR 19.2%, MDD -24.5%, exposure 75%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=5, slow=202 |
19.2% | -24.5% | 1.01 | 0.78 | 4.3x | 13 | 75% |
| ROC 모멘텀 n=162, threshold=-0.09 |
21.7% | -37.2% | 1.01 | 0.58 | 5.1x | 9 | 81% |
| EMA 크로스오버 fast=54, slow=216 |
18.7% | -31.9% | 0.92 | 0.59 | 4.2x | 7 | 75% |
| Donchian 채널 돌파 entryN=17, exitN=79 |
16.5% | -40.3% | 0.83 | 0.41 | 3.5x | 17 | 86% |
| Parabolic SAR step=0.04, maxStep=0.04 |
12.8% | -38.0% | 0.78 | 0.34 | 2.7x | 83 | 66% |
| Supertrend period=28, mult=3.6 |
12.1% | -29.5% | 0.78 | 0.41 | 2.6x | 57 | 63% |
| 볼린저 밴드 돌파 n=42, k=0.9 |
11.2% | -28.6% | 0.77 | 0.39 | 2.4x | 61 | 55% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=10, mult=1.4 |
11.3% | -23.3% | 0.76 | 0.48 | 2.4x | 61 | 58% |
| MACD fast=12, slow=49, signal=13 |
6.4% | -31.4% | 0.47 | 0.21 | 1.7x | 115 | 51% |
| ADX / DI 방향성 period=25, threshold=9 |
5.4% | -31.7% | 0.42 | 0.17 | 1.5x | 133 | 53% |
| Buy and hold | 19.1% | -44.8% | 0.80 | 0.43 | 4.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 5-day average price crosses above the 202-day average
- Sell — Sell (to cash) when the 5-day average falls below the 202-day average