Trend-Following Backtester · Guide · backtest 한국어
etf · US
United States Copper Index Fund ETV backtest
10 trend-following strategies were compared on the full daily history of United States Copper Index Fund ETV. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.4%, MDD -27.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.1%, drawdown -57.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.4%, MDD -27.6%, Sharpe 0.40, 44% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 30.2%p (CAGR 5.4%, MDD -27.6%, exposure 44%).
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=23, slow=383 |
5.4% | -27.6% | 0.40 | 0.20 | 2.2x | 13 | 44% |
| Donchian 채널 돌파 entryN=110, exitN=103 |
4.3% | -28.5% | 0.33 | 0.15 | 1.9x | 13 | 47% |
| EMA 크로스오버 fast=47, slow=219 |
2.4% | -30.7% | 0.23 | 0.08 | 1.4x | 19 | 49% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=9, mult=3.7 |
0.4% | -13.1% | 0.14 | 0.03 | 1.1x | 14 | 3% |
| 볼린저 밴드 돌파 n=62, k=1.7 |
0.1% | -33.4% | 0.08 | 0.00 | 1.0x | 57 | 33% |
| ADX / DI 방향성 period=27, threshold=37 |
0.2% | -6.7% | 0.08 | 0.03 | 1.0x | 4 | 1% |
| Supertrend period=18, mult=4.6 |
-1.7% | -57.7% | -0.00 | -0.03 | 0.8x | 79 | 54% |
| ROC 모멘텀 n=147, threshold=-0.04 |
-2.0% | -60.1% | -0.02 | -0.03 | 0.7x | 131 | 61% |
| MACD fast=19, slow=48, signal=18 |
-2.0% | -51.6% | -0.03 | -0.04 | 0.7x | 144 | 51% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-9.4% | -77.8% | -0.50 | -0.12 | 0.2x | 275 | 50% |
| Buy and hold | 3.1% | -57.8% | 0.25 | 0.05 | 1.6x | 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 23-day average price crosses above the 383-day average
- Sell — Sell (to cash) when the 23-day average falls below the 383-day average