Trend-Following Backtester · Guide · backtest 한국어
etf · AU
VanEck Gold Miners ETF backtest
10 trend-following strategies were compared on the full daily history of VanEck Gold Miners ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 15.4%, drawdown -48.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.9%, MDD -39.9%, Sharpe 0.54, 55% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=39, slow=183 |
11.9% | -39.9% | 0.54 | 0.30 | 3.5x | 18 | 55% |
| Donchian 채널 돌파 entryN=29, exitN=69 |
11.5% | -42.2% | 0.52 | 0.27 | 3.4x | 29 | 76% |
| EMA 크로스오버 fast=48, slow=131 |
10.1% | -43.2% | 0.48 | 0.23 | 2.9x | 20 | 56% |
| 볼린저 밴드 돌파 n=45, k=3.5 |
5.1% | -20.1% | 0.47 | 0.25 | 1.7x | 6 | 7% |
| ROC 모멘텀 n=133, threshold=0.11 |
7.7% | -37.9% | 0.43 | 0.20 | 2.3x | 70 | 41% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=10, mult=2.9 |
5.7% | -44.4% | 0.35 | 0.13 | 1.9x | 55 | 40% |
| Supertrend period=29, mult=3.6 |
5.3% | -52.5% | 0.33 | 0.10 | 1.8x | 105 | 49% |
| Parabolic SAR step=0.005, maxStep=0.02 |
5.1% | -47.2% | 0.32 | 0.11 | 1.7x | 57 | 53% |
| MACD fast=18, slow=42, signal=15 |
4.2% | -44.9% | 0.29 | 0.09 | 1.6x | 135 | 50% |
| ADX / DI 방향성 period=38, threshold=19 |
-0.4% | -23.9% | 0.02 | -0.02 | 1.0x | 18 | 6% |
| Buy and hold | 15.4% | -48.4% | 0.58 | 0.32 | 5.0x | 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 39-day average price crosses above the 183-day average
- Sell — Sell (to cash) when the 39-day average falls below the 183-day average