Trend-Following Backtester · Guide · backtest 한국어
etf · US
Global X Cloud Computing ETF backtest
10 trend-following strategies were compared on the full daily history of Global X Cloud Computing ETF. 1 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 7.3%, MDD -26.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.2%, drawdown -54.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 7.3%, MDD -26.7%, Sharpe 0.49, 49% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 27.9%p (CAGR 7.3%, MDD -26.7%, exposure 49%).
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=134, atrPeriod=7, mult=1.1 |
7.3% | -26.7% | 0.49 | 0.28 | 1.7x | 31 | 49% |
| EMA 크로스오버 fast=8, slow=85 |
5.6% | -38.8% | 0.38 | 0.14 | 1.5x | 29 | 52% |
| Supertrend period=33, mult=3.5 |
5.1% | -49.3% | 0.36 | 0.10 | 1.4x | 47 | 52% |
| SMA 크로스오버 fast=10, slow=62 |
5.0% | -40.5% | 0.35 | 0.12 | 1.4x | 39 | 53% |
| 볼린저 밴드 돌파 n=99, k=1.6 |
4.3% | -28.9% | 0.34 | 0.15 | 1.4x | 19 | 40% |
| Donchian 채널 돌파 entryN=75, exitN=72 |
4.3% | -31.5% | 0.32 | 0.14 | 1.4x | 13 | 53% |
| ROC 모멘텀 n=56, threshold=0.04 |
2.6% | -23.8% | 0.24 | 0.11 | 1.2x | 93 | 42% |
| ADX / DI 방향성 period=25, threshold=14 |
0.7% | -47.0% | 0.12 | 0.01 | 1.1x | 49 | 25% |
| MACD fast=18, slow=66, signal=31 |
0.2% | -55.3% | 0.11 | 0.00 | 1.0x | 63 | 50% |
| Parabolic SAR step=0.01, maxStep=0.06 |
-1.0% | -54.0% | 0.05 | -0.02 | 0.9x | 91 | 54% |
| Buy and hold | 7.2% | -54.5% | 0.38 | 0.13 | 1.7x | 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 134-day average + 1.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 134-day average