Trend-Following Backtester · Guide · backtest 한국어
etf · AU
BetaShares Global Gold Miners ETF - Currency Hedged backtest
10 trend-following strategies were compared on the full daily history of BetaShares Global Gold Miners ETF - Currency Hedged. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.7%, MDD -31.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 9.0%, drawdown -48.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.7%, MDD -45.3%, Sharpe 0.57, 50% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 2.9%p (CAGR 7.7%, MDD -31.4%, exposure 45%).
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=36, slow=217 |
12.7% | -45.3% | 0.57 | 0.28 | 3.3x | 10 | 50% |
| EMA 크로스오버 fast=58, slow=146 |
11.3% | -50.4% | 0.52 | 0.22 | 2.9x | 12 | 51% |
| 볼린저 밴드 돌파 n=24, k=3 |
3.9% | -15.2% | 0.50 | 0.25 | 1.5x | 12 | 6% |
| ROC 모멘텀 n=119, threshold=0.01 |
9.8% | -53.1% | 0.50 | 0.19 | 2.6x | 68 | 51% |
| Donchian 채널 돌파 entryN=47, exitN=28 |
7.7% | -31.4% | 0.44 | 0.25 | 2.1x | 34 | 45% |
| ADX / DI 방향성 period=37, threshold=22 |
4.4% | -20.8% | 0.41 | 0.21 | 1.5x | 10 | 9% |
| Parabolic SAR step=0.025, maxStep=0.16 |
3.0% | -50.9% | 0.24 | 0.06 | 1.3x | 201 | 52% |
| MACD fast=19, slow=59, signal=22 |
2.7% | -36.2% | 0.23 | 0.07 | 1.3x | 102 | 49% |
| Supertrend period=9, mult=1.8 |
1.6% | -49.9% | 0.18 | 0.03 | 1.2x | 231 | 52% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=25, mult=2.8 |
0.4% | -40.0% | 0.12 | 0.01 | 1.0x | 60 | 37% |
| Buy and hold | 9.0% | -48.2% | 0.42 | 0.19 | 2.4x | 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 36-day average price crosses above the 217-day average
- Sell — Sell (to cash) when the 36-day average falls below the 217-day average