Trend-Following Backtester · Guide · backtest 한국어
etf · CA
BetaPro Canadian Gold Miners 2x Daily Bull ETF backtest
10 trend-following strategies were compared on the full daily history of BetaPro Canadian Gold Miners 2x Daily Bull ETF. 8 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 4.5%, MDD -27.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.5%, drawdown -98.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.5%, MDD -27.5%, Sharpe 0.44, 3% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 7.1%, MDD -67.2%, exposure 31%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.0%p higher than buy and hold, while drawdown improves by 70.6%p (CAGR 4.5%, MDD -27.5%, exposure 3%).
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=30, k=3.5 |
4.5% | -27.5% | 0.44 | 0.16 | 2.3x | 6 | 3% |
| ROC 모멘텀 n=126, threshold=0.18 |
7.1% | -67.2% | 0.37 | 0.11 | 3.7x | 146 | 31% |
| Donchian 채널 돌파 entryN=30, exitN=50 |
0.0% | -93.2% | 0.27 | 0.00 | 1.0x | 59 | 62% |
| EMA 크로스오버 fast=75, slow=149 |
1.7% | -80.4% | 0.27 | 0.02 | 1.4x | 24 | 39% |
| SMA 크로스오버 fast=27, slow=111 |
0.8% | -88.3% | 0.26 | 0.01 | 1.2x | 58 | 45% |
| Parabolic SAR step=0.02, maxStep=0.18 |
-1.1% | -96.8% | 0.22 | -0.01 | 0.8x | 412 | 49% |
| Supertrend period=17, mult=2.3 |
-5.0% | -93.6% | 0.15 | -0.05 | 0.4x | 221 | 48% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=27, mult=3.6 |
0.6% | -28.6% | 0.12 | 0.02 | 1.1x | 14 | 3% |
| ADX / DI 방향성 period=27, threshold=25 |
0.6% | -27.5% | 0.11 | 0.02 | 1.1x | 12 | 2% |
| MACD fast=18, slow=50, signal=15 |
-8.3% | -91.5% | 0.10 | -0.09 | 0.2x | 243 | 52% |
| Buy and hold | -2.5% | -98.0% | 0.34 | -0.03 | 0.6x | 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 30-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 30-day middle average