Trend-Following Backtester · Guide · backtest 한국어
etf · US
GraniteShares Gold Trust Shares of Beneficial Interest backtest
10 trend-following strategies were compared on the full daily history of GraniteShares Gold Trust Shares of Beneficial Interest. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.4%, MDD -19.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.1%, drawdown -26.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.4%, MDD -19.8%, Sharpe 0.94, 67% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 6.5%p (CAGR 13.4%, MDD -19.8%, exposure 67%).
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=32, slow=144 |
13.4% | -19.8% | 0.94 | 0.68 | 3.1x | 18 | 67% |
| EMA 크로스오버 fast=31, slow=109 |
12.7% | -24.0% | 0.88 | 0.53 | 2.9x | 16 | 69% |
| 볼린저 밴드 돌파 n=45, k=2.4 |
10.1% | -13.8% | 0.87 | 0.74 | 2.4x | 29 | 38% |
| Donchian 채널 돌파 entryN=51, exitN=41 |
11.4% | -19.2% | 0.86 | 0.59 | 2.6x | 19 | 61% |
| Supertrend period=24, mult=5 |
10.0% | -23.1% | 0.85 | 0.43 | 2.4x | 35 | 52% |
| ROC 모멘텀 n=76, threshold=-0.04 |
12.3% | -25.7% | 0.84 | 0.48 | 2.9x | 58 | 80% |
| MACD fast=23, slow=53, signal=24 |
9.5% | -23.9% | 0.78 | 0.40 | 2.3x | 55 | 48% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=12, mult=2.8 |
8.9% | -21.2% | 0.73 | 0.42 | 2.2x | 35 | 49% |
| ADX / DI 방향성 period=39, threshold=10 |
4.8% | -30.2% | 0.42 | 0.16 | 1.5x | 81 | 56% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-1.5% | -33.5% | -0.06 | -0.04 | 0.9x | 146 | 53% |
| Buy and hold | 14.1% | -26.3% | 0.88 | 0.54 | 3.3x | 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 32-day average price crosses above the 144-day average
- Sell — Sell (to cash) when the 32-day average falls below the 144-day average