Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Gold Trust Micro Shares backtest
10 trend-following strategies were compared on the full daily history of iShares Gold Trust Micro Shares. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 20.0%, MDD -17.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 17.4%, drawdown -26.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 21.0%, MDD -19.1%, Sharpe 1.27, 70% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.6%p higher than buy and hold, while drawdown improves by 7.2%p (CAGR 20.0%, MDD -17.0%, exposure 68%).
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=46, slow=107 |
21.0% | -19.1% | 1.27 | 1.10 | 2.6x | 6 | 70% |
| Donchian 채널 돌파 entryN=41, exitN=44 |
20.0% | -17.0% | 1.26 | 1.18 | 2.5x | 6 | 68% |
| ROC 모멘텀 n=78, threshold=-0.03 |
20.4% | -19.1% | 1.20 | 1.06 | 2.6x | 16 | 78% |
| EMA 크로스오버 fast=30, slow=114 |
18.9% | -19.1% | 1.15 | 0.99 | 2.4x | 6 | 73% |
| 볼린저 밴드 돌파 n=44, k=2.5 |
14.3% | -13.7% | 1.09 | 1.04 | 2.0x | 14 | 38% |
| ADX / DI 방향성 period=38, threshold=10 |
16.0% | -20.2% | 1.04 | 0.79 | 2.1x | 30 | 64% |
| Supertrend period=19, mult=5 |
14.4% | -17.7% | 1.04 | 0.81 | 2.0x | 20 | 59% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=21, mult=3.3 |
13.9% | -13.7% | 0.98 | 1.01 | 1.9x | 18 | 51% |
| MACD fast=25, slow=52, signal=23 |
9.6% | -17.5% | 0.74 | 0.55 | 1.6x | 35 | 48% |
| Parabolic SAR step=0.025, maxStep=0.36 |
2.6% | -20.4% | 0.26 | 0.13 | 1.1x | 111 | 54% |
| Buy and hold | 17.4% | -26.3% | 0.98 | 0.66 | 2.3x | 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 46-day average price crosses above the 107-day average
- Sell — Sell (to cash) when the 46-day average falls below the 107-day average