Trend-Following Backtester · Guide · backtest 한국어
equity · US
Gold.com, Inc. backtest
10 trend-following strategies were compared on the full daily history of Gold.com, Inc.. 3 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 16.0%, MDD -34.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 16.5%, drawdown -64.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 16.0%, MDD -34.3%, Sharpe 0.71, 26% exposure.
CAGR reference leader: Supertrend — CAGR 20.0%, MDD -48.4%, exposure 57%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 30.0%p (CAGR 16.0%, MDD -34.3%, exposure 26%).
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=17, k=2.2 |
16.0% | -34.3% | 0.71 | 0.47 | 6.3x | 100 | 26% |
| Supertrend period=8, mult=4.2 |
20.0% | -48.4% | 0.69 | 0.41 | 9.7x | 41 | 57% |
| Parabolic SAR step=0.01, maxStep=0.24 |
18.8% | -42.5% | 0.68 | 0.44 | 8.6x | 159 | 53% |
| Donchian 채널 돌파 entryN=23, exitN=34 |
17.6% | -50.1% | 0.65 | 0.35 | 7.6x | 45 | 52% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=26, mult=1.9 |
14.8% | -34.9% | 0.63 | 0.43 | 5.6x | 59 | 32% |
| SMA 크로스오버 fast=39, slow=58 |
16.4% | -62.9% | 0.61 | 0.26 | 6.7x | 58 | 52% |
| MACD fast=21, slow=75, signal=9 |
14.4% | -44.0% | 0.57 | 0.33 | 5.3x | 149 | 51% |
| ADX / DI 방향성 period=27, threshold=21 |
10.7% | -38.9% | 0.55 | 0.28 | 3.5x | 30 | 20% |
| ROC 모멘텀 n=81, threshold=0.11 |
12.1% | -55.7% | 0.54 | 0.22 | 4.2x | 84 | 34% |
| EMA 크로스오버 fast=16, slow=179 |
12.1% | -59.2% | 0.50 | 0.20 | 4.2x | 35 | 50% |
| Buy and hold | 16.5% | -64.3% | 0.56 | 0.26 | 6.7x | 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 17-day average (2.2× volatility)
- Sell — Sell when the close falls back to the 17-day middle average