Trend-Following Backtester · Guide · backtest 한국어
etf · IN
Kotak Gold ETF backtest
10 trend-following strategies were compared on the full daily history of Kotak Gold ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.6%, drawdown -27.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.1%, MDD -24.1%, Sharpe 0.90, 75% exposure.
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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=61, exitN=96 |
12.1% | -24.1% | 0.90 | 0.50 | 8.2x | 13 | 75% |
| EMA 크로스오버 fast=24, slow=158 |
12.0% | -24.1% | 0.90 | 0.50 | 8.1x | 23 | 73% |
| SMA 크로스오버 fast=49, slow=184 |
11.7% | -25.1% | 0.89 | 0.46 | 7.6x | 18 | 71% |
| ROC 모멘텀 n=141, threshold=-0.04 |
11.5% | -29.6% | 0.84 | 0.39 | 7.4x | 71 | 82% |
| Supertrend period=17, mult=4.9 |
6.3% | -32.8% | 0.55 | 0.19 | 3.0x | 51 | 59% |
| 볼린저 밴드 돌파 n=58, k=2.2 |
5.0% | -19.9% | 0.49 | 0.25 | 2.5x | 61 | 39% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=25, mult=1.9 |
5.3% | -27.6% | 0.49 | 0.19 | 2.6x | 81 | 46% |
| ADX / DI 방향성 period=33, threshold=8 |
4.8% | -40.3% | 0.41 | 0.12 | 2.4x | 137 | 73% |
| Parabolic SAR step=0.005, maxStep=0.22 |
4.2% | -32.8% | 0.40 | 0.13 | 2.1x | 136 | 53% |
| MACD fast=19, slow=22, signal=11 |
3.9% | -23.3% | 0.38 | 0.17 | 2.0x | 263 | 51% |
| Buy and hold | 13.6% | -27.9% | 0.89 | 0.49 | 10.4x | 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 61 days
- Sell — Sell when price breaks below the lowest low of the last 96 days