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; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 18.2%, MDD -24.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 18.0%, drawdown -44.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 20.6%, MDD -37.2%, Sharpe 0.97, 81% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 7.7%p (CAGR 18.2%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=162, threshold=-0.09 |
20.6% | -37.2% | 0.97 | 0.55 | 4.7x | 9 | 81% |
| SMA 크로스오버 fast=5, slow=202 |
18.2% | -24.5% | 0.97 | 0.74 | 3.9x | 13 | 75% |
| EMA 크로스오버 fast=54, slow=216 |
17.7% | -31.9% | 0.88 | 0.55 | 3.8x | 7 | 75% |
| Donchian 채널 돌파 entryN=17, exitN=79 |
15.4% | -40.3% | 0.79 | 0.38 | 3.2x | 17 | 86% |
| 볼린저 밴드 돌파 n=42, k=0.9 |
11.5% | -28.6% | 0.79 | 0.40 | 2.4x | 60 | 55% |
| Parabolic SAR step=0.04, maxStep=0.04 |
12.7% | -38.0% | 0.78 | 0.34 | 2.7x | 82 | 66% |
| Supertrend period=28, mult=3.6 |
12.2% | -29.5% | 0.78 | 0.41 | 2.6x | 56 | 63% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=10, mult=1.4 |
11.3% | -23.3% | 0.76 | 0.49 | 2.4x | 60 | 58% |
| MACD fast=12, slow=49, signal=13 |
6.2% | -31.4% | 0.46 | 0.20 | 1.6x | 114 | 51% |
| ADX / DI 방향성 period=25, threshold=9 |
5.5% | -31.7% | 0.43 | 0.17 | 1.6x | 132 | 54% |
| Buy and hold | 18.0% | -44.8% | 0.77 | 0.40 | 3.9x | 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 162-day return is greater than -9%
- Sell — Sell when the 162-day return drops to -9% or below