Trend-Following Backtester · Guide · backtest 한국어
etf · US
Goldman Sachs Physical Gold ETF Shares backtest
10 trend-following strategies were compared on the full daily history of Goldman Sachs Physical Gold ETF Shares. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 15.2%, MDD -19.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 17.7%, drawdown -26.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.2%, MDD -19.1%, Sharpe 1.03, 64% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.6%p lower than buy and hold, while drawdown improves by 7.2%p (CAGR 15.2%, MDD -19.1%, exposure 64%).
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=27, slow=76 |
15.2% | -19.1% | 1.03 | 0.79 | 3.1x | 19 | 64% |
| Supertrend period=24, mult=5 |
12.1% | -22.8% | 0.97 | 0.53 | 2.5x | 31 | 55% |
| ROC 모멘텀 n=78, threshold=-0.04 |
14.8% | -23.6% | 0.95 | 0.63 | 3.0x | 46 | 82% |
| EMA 크로스오버 fast=25, slow=64 |
13.9% | -22.8% | 0.93 | 0.61 | 2.9x | 21 | 69% |
| Donchian 채널 돌파 entryN=52, exitN=43 |
12.6% | -19.7% | 0.92 | 0.64 | 2.6x | 15 | 60% |
| 볼린저 밴드 돌파 n=48, k=1.3 |
11.0% | -24.9% | 0.84 | 0.44 | 2.3x | 45 | 50% |
| MACD fast=29, slow=41, signal=25 |
10.1% | -23.3% | 0.80 | 0.43 | 2.2x | 51 | 48% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=26, mult=3.1 |
9.7% | -21.7% | 0.76 | 0.45 | 2.1x | 31 | 51% |
| ADX / DI 방향성 period=22, threshold=13 |
3.9% | -30.0% | 0.34 | 0.13 | 1.4x | 107 | 54% |
| Parabolic SAR step=0.02, maxStep=0.12 |
2.3% | -26.6% | 0.24 | 0.08 | 1.2x | 140 | 55% |
| Buy and hold | 17.7% | -26.3% | 1.03 | 0.67 | 3.7x | 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 27-day average price crosses above the 76-day average
- Sell — Sell (to cash) when the 27-day average falls below the 76-day average