Trend-Following Backtester · Guide · backtest 한국어
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SBI Gold ETF backtest
10 trend-following strategies were compared on the full daily history of SBI Gold ETF. 3 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.8%, MDD -18.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR -13.0%, drawdown -100.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.8%, MDD -18.1%, Sharpe 0.81, 32% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 20.9%p higher than buy and hold, while drawdown improves by 81.9%p (CAGR 7.8%, MDD -18.1%, exposure 32%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=57, threshold=20 |
7.8% | -18.1% | 0.81 | 0.43 | 3.7x | 14 | 32% |
| MACD fast=15, slow=22, signal=16 |
6.0% | -22.0% | 0.56 | 0.27 | 2.7x | 217 | 53% |
| ROC 모멘텀 n=135, threshold=0.16 |
4.0% | -24.8% | 0.43 | 0.16 | 2.0x | 62 | 21% |
| Donchian 채널 돌파 entryN=116, exitN=90 |
-17.1% | -99.0% | 0.11 | -0.17 | 0.0x | 19 | 57% |
| Supertrend period=5, mult=2.4 |
-17.3% | -99.1% | 0.10 | -0.17 | 0.0x | 123 | 57% |
| SMA 크로스오버 fast=13, slow=55 |
-18.1% | -99.0% | 0.07 | -0.18 | 0.0x | 99 | 60% |
| 볼린저 밴드 돌파 n=73, k=1.7 |
-18.0% | -99.0% | 0.07 | -0.18 | 0.0x | 57 | 46% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=18, mult=2.6 |
-20.2% | -99.2% | -0.04 | -0.20 | 0.0x | 55 | 38% |
| EMA 크로스오버 fast=34, slow=198 |
-35.8% | -100.0% | -0.05 | -0.36 | 0.0x | 15 | 55% |
| Parabolic SAR step=0.01, maxStep=0.2 |
-20.9% | -99.2% | -0.07 | -0.21 | 0.0x | 207 | 54% |
| Buy and hold | -13.0% | -100.0% | 0.24 | -0.13 | 0.1x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 57-day) is ≥ 20
- Sell — Sell when direction flips or the trend weakens (ADX < 20)