Trend-Following Backtester · Guide · backtest 한국어
etf · DE
UBS Solactive Global Pure Gold Miners UCITS ETF USD backtest
10 trend-following strategies were compared on the full daily history of UBS Solactive Global Pure Gold Miners UCITS ETF USD. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 10.6%, MDD -37.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.9%, drawdown -71.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.6%, MDD -37.7%, Sharpe 0.55, 37% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 34.3%p (CAGR 10.6%, MDD -37.7%, exposure 37%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=130, threshold=0.12 |
10.6% | -37.7% | 0.55 | 0.28 | 4.0x | 72 | 37% |
| Donchian 채널 돌파 entryN=140, exitN=40 |
8.7% | -44.3% | 0.49 | 0.20 | 3.2x | 20 | 31% |
| EMA 크로스오버 fast=58, slow=176 |
7.5% | -40.0% | 0.40 | 0.19 | 2.7x | 18 | 48% |
| SMA 크로스오버 fast=33, slow=48 |
7.6% | -50.3% | 0.38 | 0.15 | 2.7x | 72 | 49% |
| ADX / DI 방향성 period=31, threshold=24 |
2.7% | -18.7% | 0.28 | 0.14 | 1.4x | 6 | 5% |
| 볼린저 밴드 돌파 n=33, k=3.4 |
0.6% | -36.7% | 0.11 | 0.02 | 1.1x | 14 | 6% |
| Supertrend period=8, mult=4.2 |
-8.0% | -81.9% | 0.00 | -0.10 | 0.3x | 100 | 49% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=14, mult=2.2 |
-4.4% | -63.3% | -0.02 | -0.07 | 0.5x | 104 | 36% |
| MACD fast=17, slow=34, signal=16 |
-13.3% | -89.4% | -0.08 | -0.15 | 0.1x | 185 | 50% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-9.4% | -75.1% | -0.08 | -0.13 | 0.3x | 124 | 49% |
| Buy and hold | 4.9% | -71.9% | 0.38 | 0.07 | 1.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 130-day return is greater than 12%
- Sell — Sell when the 130-day return drops to 12% or below