Trend-Following Backtester · Guide · backtest 한국어
etf · DE
Borse Commodities GmbH Xetra-Gold backtest
10 trend-following strategies were compared on the full daily history of Borse Commodities GmbH Xetra-Gold. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.7%, MDD -18.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.1%, drawdown -36.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.4%, MDD -23.4%, Sharpe 0.70, 61% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 9.1%, MDD -26.6%, exposure 91%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.7%p lower than buy and hold, while drawdown improves by 13.4%p (CAGR 7.7%, MDD -18.1%, exposure 65%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=86, exitN=70 |
8.4% | -23.4% | 0.70 | 0.36 | 3.9x | 20 | 61% |
| ROC 모멘텀 n=131, threshold=-0.1 |
9.1% | -26.6% | 0.68 | 0.34 | 4.3x | 25 | 91% |
| SMA 크로스오버 fast=28, slow=151 |
7.8% | -21.9% | 0.65 | 0.36 | 3.5x | 30 | 65% |
| EMA 크로스오버 fast=27, slow=83 |
7.7% | -18.1% | 0.63 | 0.42 | 3.5x | 41 | 65% |
| Supertrend period=8, mult=4.9 |
4.5% | -23.1% | 0.43 | 0.19 | 2.1x | 63 | 57% |
| 볼린저 밴드 돌파 n=20, k=3.1 |
1.4% | -13.1% | 0.39 | 0.11 | 1.3x | 20 | 5% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=23, mult=4 |
2.9% | -19.6% | 0.34 | 0.15 | 1.6x | 45 | 24% |
| ADX / DI 방향성 period=19, threshold=29 |
1.1% | -15.7% | 0.20 | 0.07 | 1.2x | 28 | 9% |
| Parabolic SAR step=0.005, maxStep=0.28 |
1.3% | -40.0% | 0.17 | 0.03 | 1.2x | 135 | 51% |
| MACD fast=18, slow=43, signal=14 |
0.9% | -39.5% | 0.14 | 0.02 | 1.2x | 209 | 50% |
| Buy and hold | 10.1% | -36.8% | 0.70 | 0.28 | 5.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 86 days
- Sell — Sell when price breaks below the lowest low of the last 70 days