Trend-Following Backtester · Guide · backtest 한국어
etf · BR
Gold - Trend ETF LBMA Ouro Fundo Investimento Cotas de Fundo de Indice Investiment Exterior backtest
10 trend-following strategies were compared on the full daily history of Gold - Trend ETF LBMA Ouro Fundo Investimento Cotas de Fundo de Indice Investiment Exterior. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 14.9%, MDD -12.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 16.4%, drawdown -27.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 14.9%, MDD -12.6%, Sharpe 1.14, 37% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 16.5%, MDD -18.0%, exposure 58%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 15.3%p (CAGR 14.9%, MDD -12.6%, exposure 37%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=57, k=3 |
14.9% | -12.6% | 1.14 | 1.18 | 2.2x | 8 | 37% |
| SMA 크로스오버 fast=23, slow=133 |
16.5% | -18.0% | 1.09 | 0.92 | 2.4x | 6 | 58% |
| Donchian 채널 돌파 entryN=84, exitN=43 |
15.4% | -18.6% | 1.04 | 0.83 | 2.3x | 7 | 57% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=23, mult=3.4 |
12.5% | -15.7% | 0.96 | 0.80 | 2.0x | 11 | 40% |
| EMA 크로스오버 fast=44, slow=59 |
13.7% | -18.0% | 0.90 | 0.76 | 2.1x | 11 | 63% |
| ROC 모멘텀 n=128, threshold=0.11 |
11.5% | -18.0% | 0.87 | 0.64 | 1.9x | 14 | 40% |
| ADX / DI 방향성 period=39, threshold=13 |
10.8% | -16.4% | 0.84 | 0.66 | 1.8x | 13 | 37% |
| Supertrend period=8, mult=4.4 |
8.4% | -34.2% | 0.60 | 0.25 | 1.6x | 19 | 65% |
| MACD fast=38, slow=43, signal=40 |
1.6% | -29.9% | 0.19 | 0.05 | 1.1x | 41 | 46% |
| Parabolic SAR step=0.005, maxStep=0.12 |
1.3% | -39.6% | 0.16 | 0.03 | 1.1x | 47 | 53% |
| Buy and hold | 16.4% | -27.9% | 0.88 | 0.59 | 2.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 57-day average (3× volatility)
- Sell — Sell when the close falls back to the 57-day middle average