Trend-Following Backtester · Guide · backtest 한국어

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iShares S&P/TSX Global Gold Index ETF backtest

10 trend-following strategies were compared on the full daily history of iShares S&P/TSX Global Gold Index ETF. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.

Data 2001-03-29 ~ 2026-07-31daily bars 6,364 (25.3 years)Costs 0.5%Venue TSXMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 8.0%, drawdown -73.7%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.3%, MDD -19.0%, Sharpe 0.30, 5% exposure.

CAGR reference leader: SMA 크로스오버 — CAGR 2.7%, MDD -67.4%, exposure 54%.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
볼린저 밴드 돌파
n=54, k=3.5
2.3%-19.0%0.300.121.8x105%
SMA 크로스오버
fast=47, slow=159
2.7%-67.4%0.230.041.9x5254%
Donchian 채널 돌파
entryN=7, exitN=32
2.3%-78.0%0.230.031.8x16079%
EMA 크로스오버
fast=57, slow=141
1.7%-73.7%0.200.021.5x4854%
Supertrend
period=5, mult=4.9
1.6%-83.0%0.190.021.5x10252%
ROC 모멘텀
n=45, threshold=-0.04
0.2%-78.0%0.140.001.0x34265%
Keltner 채널 돌파
emaPeriod=69, atrPeriod=30, mult=1.5
0.5%-70.9%0.140.011.1x16443%
MACD
fast=19, slow=53, signal=15
-3.0%-78.4%0.01-0.040.5x30551%
ADX / DI 방향성
period=35, threshold=26
-0.2%-28.9%0.01-0.011.0x102%
Parabolic SAR
step=0.01, maxStep=0.24
-3.5%-82.7%-0.01-0.040.4x35853%
Buy and hold8.0%-73.7%0.390.117.1x1100%
1x 10x 2002 2006 2010 2014 2018 2022 2026 SMA 크로스오버볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파 (Sharpe leader), SMA 크로스오버 (CAGR reference), Buy and hold.
0% -18% -37% -55% -74% 2002 2006 2010 2014 2018 2022 2026 Buy and holdSMA 크로스오버볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -19.0% (2025-10-16 → 2025-11-05), prior peak not yet recovered.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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