Trend-Following Backtester · Guide · backtest 한국어
etf · CA
iShares Gold Bullion ETF Hedged backtest
10 trend-following strategies were compared on the full daily history of iShares Gold Bullion ETF Hedged. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.2%, drawdown -46.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.0%, MDD -10.8%, Sharpe 0.57, 9% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 5.6%, MDD -39.1%, exposure 56%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=37, k=3.2 |
3.0% | -10.8% | 0.57 | 0.28 | 1.6x | 14 | 9% |
| SMA 크로스오버 fast=49, slow=106 |
5.6% | -39.1% | 0.48 | 0.14 | 2.4x | 38 | 56% |
| EMA 크로스오버 fast=47, slow=49 |
5.2% | -37.8% | 0.45 | 0.14 | 2.2x | 40 | 57% |
| Supertrend period=12, mult=4.2 |
4.1% | -39.2% | 0.39 | 0.11 | 1.9x | 80 | 53% |
| Donchian 채널 돌파 entryN=78, exitN=42 |
3.9% | -40.8% | 0.37 | 0.10 | 1.8x | 32 | 48% |
| Keltner 채널 돌파 emaPeriod=100, atrPeriod=17, mult=2.2 |
3.4% | -41.0% | 0.33 | 0.08 | 1.7x | 64 | 46% |
| ROC 모멘텀 n=122, threshold=-0.01 |
2.8% | -45.8% | 0.27 | 0.06 | 1.6x | 118 | 63% |
| MACD fast=29, slow=70, signal=22 |
2.5% | -35.3% | 0.26 | 0.07 | 1.5x | 109 | 47% |
| ADX / DI 방향성 period=36, threshold=16 |
0.3% | -45.9% | 0.08 | 0.01 | 1.0x | 56 | 22% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-3.8% | -57.5% | -0.26 | -0.07 | 0.5x | 236 | 52% |
| Buy and hold | 6.2% | -46.0% | 0.44 | 0.13 | 2.6x | 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 37-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 37-day middle average