Trend-Following Backtester · Guide · backtest 한국어
etf · US
DB Gold Double Long ETN due February 15, 2038 backtest
10 trend-following strategies were compared on the full daily history of DB Gold Double Long ETN due February 15, 2038. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 10.6%, MDD -30.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 9.2%, drawdown -75.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.5%, MDD -56.4%, Sharpe 0.56, 59% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 18.9%p (CAGR 10.6%, MDD -30.2%, exposure 36%).
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=45, slow=150 |
12.5% | -56.4% | 0.56 | 0.22 | 8.8x | 28 | 59% |
| Donchian 채널 돌파 entryN=100, exitN=87 |
12.2% | -58.1% | 0.55 | 0.21 | 8.3x | 18 | 59% |
| EMA 크로스오버 fast=31, slow=94 |
12.2% | -62.5% | 0.54 | 0.19 | 8.3x | 40 | 58% |
| 볼린저 밴드 돌파 n=50, k=1.9 |
10.6% | -30.2% | 0.54 | 0.35 | 6.4x | 74 | 36% |
| ROC 모멘텀 n=127, threshold=0.01 |
10.4% | -59.3% | 0.49 | 0.18 | 6.2x | 128 | 59% |
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=24, mult=2.7 |
7.0% | -46.6% | 0.40 | 0.15 | 3.5x | 76 | 37% |
| Supertrend period=13, mult=3.8 |
6.9% | -51.2% | 0.39 | 0.14 | 3.4x | 108 | 49% |
| MACD fast=23, slow=52, signal=23 |
5.7% | -66.2% | 0.34 | 0.09 | 2.8x | 151 | 49% |
| ADX / DI 방향성 period=35, threshold=7 |
4.9% | -73.4% | 0.31 | 0.07 | 2.4x | 212 | 51% |
| Parabolic SAR step=0.005, maxStep=0.28 |
1.8% | -66.5% | 0.20 | 0.03 | 1.4x | 147 | 48% |
| Buy and hold | 9.2% | -75.3% | 0.42 | 0.12 | 5.1x | 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 45-day average price crosses above the 150-day average
- Sell — Sell (to cash) when the 45-day average falls below the 150-day average