Trend-Following Backtester · Guide · backtest 한국어
etf · US
SPDR Gold MiniShares Trust backtest
10 trend-following strategies were compared on the full daily history of SPDR Gold MiniShares Trust. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 15.7%, MDD -19.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 15.3%, drawdown -26.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.7%, MDD -19.1%, Sharpe 1.06, 67% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 7.1%p (CAGR 15.7%, MDD -19.1%, 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=34, slow=93 |
15.7% | -19.1% | 1.06 | 0.82 | 3.3x | 14 | 67% |
| EMA 크로스오버 fast=34, slow=52 |
15.0% | -21.9% | 1.01 | 0.69 | 3.1x | 18 | 69% |
| Donchian 채널 돌파 entryN=44, exitN=41 |
14.0% | -17.0% | 1.01 | 0.83 | 2.9x | 16 | 64% |
| ROC 모멘텀 n=77, threshold=-0.03 |
15.5% | -21.3% | 0.99 | 0.73 | 3.2x | 46 | 80% |
| 볼린저 밴드 돌파 n=47, k=2.3 |
10.9% | -13.8% | 0.91 | 0.79 | 2.3x | 26 | 39% |
| Supertrend period=9, mult=5 |
11.0% | -27.2% | 0.89 | 0.41 | 2.3x | 30 | 57% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=22, mult=2.4 |
9.9% | -17.2% | 0.79 | 0.57 | 2.1x | 36 | 47% |
| ADX / DI 방향성 period=33, threshold=11 |
7.2% | -26.8% | 0.58 | 0.27 | 1.8x | 66 | 58% |
| MACD fast=19, slow=38, signal=19 |
3.2% | -27.5% | 0.31 | 0.12 | 1.3x | 85 | 49% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-0.8% | -29.0% | 0.00 | -0.03 | 0.9x | 126 | 54% |
| Buy and hold | 15.3% | -26.3% | 0.92 | 0.58 | 3.2x | 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 34-day average price crosses above the 93-day average
- Sell — Sell (to cash) when the 34-day average falls below the 93-day average