Trend-Following Backtester · Guide · backtest 한국어
etf · US
Global X Robotics & Artificial Intelligence ETF backtest
10 trend-following strategies were compared on the full daily history of Global X Robotics & Artificial Intelligence ETF. 3 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.4%, MDD -18.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 9.1%, drawdown -55.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 9.4%, MDD -18.0%, Sharpe 0.81, 38% exposure.
CAGR reference leader: Supertrend — CAGR 11.7%, MDD -31.3%, exposure 63%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 37.6%p (CAGR 9.4%, MDD -18.0%, exposure 38%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=16, mult=3.9 |
9.4% | -18.0% | 0.81 | 0.52 | 2.4x | 24 | 38% |
| ADX / DI 방향성 period=38, threshold=22 |
4.5% | -18.3% | 0.79 | 0.25 | 1.5x | 8 | 14% |
| Supertrend period=22, mult=4.8 |
11.7% | -31.3% | 0.77 | 0.37 | 3.0x | 40 | 63% |
| EMA 크로스오버 fast=8, slow=28 |
10.7% | -25.2% | 0.70 | 0.42 | 2.7x | 78 | 62% |
| SMA 크로스오버 fast=13, slow=118 |
8.8% | -25.4% | 0.59 | 0.35 | 2.3x | 32 | 62% |
| 볼린저 밴드 돌파 n=54, k=1.2 |
7.2% | -29.4% | 0.57 | 0.25 | 2.0x | 50 | 49% |
| Donchian 채널 돌파 entryN=48, exitN=55 |
8.2% | -33.9% | 0.55 | 0.24 | 2.2x | 20 | 68% |
| ROC 모멘텀 n=79, threshold=-0.04 |
8.1% | -29.5% | 0.53 | 0.27 | 2.2x | 61 | 70% |
| Parabolic SAR step=0.01, maxStep=0.24 |
5.1% | -38.5% | 0.38 | 0.13 | 1.6x | 136 | 59% |
| MACD fast=11, slow=29, signal=12 |
2.4% | -33.4% | 0.23 | 0.07 | 1.3x | 176 | 50% |
| Buy and hold | 9.1% | -55.6% | 0.47 | 0.16 | 2.4x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 56-day average + 3.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 56-day average