Trend-Following Backtester · Guide · backtest 한국어
etf · CH
Swisscanto (CH) Gold ETF EA CHF backtest
10 trend-following strategies were compared on the full daily history of Swisscanto (CH) Gold ETF EA CHF. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 5.5%, MDD -29.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.3%, drawdown -38.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.8%, MDD -13.4%, Sharpe 0.46, 11% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 5.5%, MDD -29.8%, exposure 91%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.5%p lower than buy and hold, while drawdown improves by 25.1%p (CAGR 5.5%, MDD -29.8%, exposure 91%).
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=49, k=3.3 |
2.8% | -13.4% | 0.46 | 0.21 | 1.7x | 18 | 11% |
| SMA 크로스오버 fast=31, slow=200 |
4.9% | -25.9% | 0.43 | 0.19 | 2.4x | 32 | 61% |
| ROC 모멘텀 n=138, threshold=-0.09 |
5.5% | -29.8% | 0.43 | 0.19 | 2.7x | 56 | 91% |
| EMA 크로스오버 fast=20, slow=265 |
4.7% | -26.2% | 0.41 | 0.18 | 2.3x | 28 | 65% |
| Donchian 채널 돌파 entryN=97, exitN=71 |
2.5% | -28.3% | 0.26 | 0.09 | 1.6x | 28 | 54% |
| Supertrend period=24, mult=3.2 |
1.3% | -48.1% | 0.17 | 0.03 | 1.3x | 140 | 49% |
| ADX / DI 방향성 period=39, threshold=23 |
0.5% | -10.8% | 0.14 | 0.05 | 1.1x | 10 | 4% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=27, mult=3.9 |
-0.0% | -32.0% | 0.04 | -0.00 | 1.0x | 58 | 21% |
| MACD fast=12, slow=59, signal=11 |
-0.9% | -48.7% | -0.02 | -0.02 | 0.8x | 251 | 50% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-1.4% | -50.2% | -0.06 | -0.03 | 0.8x | 146 | 48% |
| Buy and hold | 6.3% | -38.5% | 0.45 | 0.16 | 3.1x | 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 49-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 49-day middle average