Trend-Following Backtester · Guide · backtest 한국어
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Yuanta S&P GSCI Gold 2x Leveraged Index ER Futures ETF backtest
10 trend-following strategies were compared on the full daily history of Yuanta S&P GSCI Gold 2x Leveraged Index ER Futures ETF. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 13.6%, MDD -30.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 15.2%, drawdown -53.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 20.1%, MDD -41.0%, Sharpe 0.80, 61% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 20.8%, MDD -41.0%, exposure 78%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 12.1%p (CAGR 13.6%, MDD -30.1%, exposure 39%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=44, slow=157 |
20.1% | -41.0% | 0.80 | 0.49 | 5.2x | 12 | 61% |
| ROC 모멘텀 n=79, threshold=-0.09 |
20.8% | -41.0% | 0.79 | 0.51 | 5.4x | 62 | 78% |
| EMA 크로스오버 fast=30, slow=57 |
18.7% | -41.0% | 0.76 | 0.46 | 4.6x | 22 | 58% |
| 볼린저 밴드 돌파 n=43, k=1.8 |
13.6% | -30.1% | 0.66 | 0.45 | 3.1x | 40 | 39% |
| Supertrend period=45, mult=4.1 |
13.1% | -42.4% | 0.65 | 0.31 | 3.0x | 72 | 49% |
| Donchian 채널 돌파 entryN=95, exitN=101 |
14.5% | -42.2% | 0.63 | 0.34 | 3.3x | 10 | 62% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=15, mult=3.8 |
11.1% | -30.4% | 0.61 | 0.36 | 2.6x | 34 | 30% |
| Parabolic SAR step=0.005, maxStep=0.16 |
11.9% | -41.5% | 0.61 | 0.29 | 2.7x | 60 | 47% |
| ADX / DI 방향성 period=27, threshold=11 |
4.9% | -39.1% | 0.32 | 0.12 | 1.5x | 94 | 42% |
| MACD fast=15, slow=23, signal=18 |
2.9% | -47.7% | 0.25 | 0.06 | 1.3x | 115 | 51% |
| Buy and hold | 15.2% | -53.0% | 0.61 | 0.29 | 3.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 44-day average price crosses above the 157-day average
- Sell — Sell (to cash) when the 44-day average falls below the 157-day average