Trend-Following Backtester · Guide · backtest 한국어
etf · US
abrdn Physical Platinum Shares ETF backtest
10 trend-following strategies were compared on the full daily history of abrdn Physical Platinum Shares ETF. 4 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.9%, MDD -7.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 0.1%, drawdown -70.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.9%, MDD -7.7%, Sharpe 0.34, 3% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 2.1%, MDD -34.4%, exposure 14%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 63.0%p (CAGR 1.9%, MDD -7.7%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=24, k=3.3 |
1.9% | -7.7% | 0.34 | 0.24 | 1.4x | 9 | 3% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=20, mult=3.4 |
2.0% | -15.7% | 0.29 | 0.13 | 1.4x | 20 | 4% |
| ROC 모멘텀 n=154, threshold=0.17 |
2.1% | -34.4% | 0.22 | 0.06 | 1.4x | 54 | 14% |
| ADX / DI 방향성 period=34, threshold=21 |
1.2% | -28.0% | 0.17 | 0.04 | 1.2x | 6 | 3% |
| MACD fast=23, slow=36, signal=16 |
-0.0% | -51.9% | 0.09 | -0.00 | 1.0x | 177 | 52% |
| Donchian 채널 돌파 entryN=39, exitN=99 |
-0.4% | -58.0% | 0.09 | -0.01 | 0.9x | 29 | 72% |
| SMA 크로스오버 fast=13, slow=154 |
-1.5% | -65.0% | 0.02 | -0.02 | 0.8x | 54 | 44% |
| EMA 크로스오버 fast=38, slow=50 |
-2.2% | -66.0% | -0.02 | -0.03 | 0.7x | 60 | 46% |
| Supertrend period=12, mult=3 |
-2.4% | -60.5% | -0.04 | -0.04 | 0.7x | 161 | 50% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-5.5% | -78.3% | -0.21 | -0.07 | 0.4x | 149 | 48% |
| Buy and hold | 0.1% | -70.7% | 0.13 | 0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 24-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 24-day middle average