Trend-Following Backtester · Guide · backtest 한국어
etf · AU
Perth Mint Gold Structured Product backtest
10 trend-following strategies were compared on the full daily history of Perth Mint Gold Structured Product. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.7%, MDD -21.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.8%, drawdown -27.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.8%, MDD -23.6%, Sharpe 0.92, 93% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.0%p higher than buy and hold, while drawdown improves by 3.5%p (CAGR 7.7%, MDD -21.5%, exposure 75%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=78, threshold=-0.11 |
8.8% | -23.6% | 0.92 | 0.37 | 4.3x | 28 | 93% |
| SMA 크로스오버 fast=35, slow=202 |
7.7% | -21.5% | 0.88 | 0.36 | 3.6x | 10 | 75% |
| Donchian 채널 돌파 entryN=38, exitN=76 |
7.5% | -22.7% | 0.86 | 0.33 | 3.5x | 16 | 77% |
| EMA 크로스오버 fast=39, slow=113 |
6.3% | -23.8% | 0.74 | 0.26 | 2.9x | 18 | 75% |
| 볼린저 밴드 돌파 n=50, k=2.1 |
4.5% | -24.5% | 0.66 | 0.18 | 2.2x | 40 | 42% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=28, mult=2 |
4.6% | -29.2% | 0.60 | 0.16 | 2.2x | 52 | 59% |
| ADX / DI 방향성 period=25, threshold=19 |
3.5% | -21.2% | 0.57 | 0.16 | 1.8x | 40 | 29% |
| Supertrend period=18, mult=4.3 |
4.1% | -28.3% | 0.49 | 0.14 | 2.0x | 58 | 56% |
| Parabolic SAR step=0.015, maxStep=0.38 |
1.8% | -38.9% | 0.27 | 0.05 | 1.4x | 165 | 53% |
| MACD fast=13, slow=53, signal=11 |
0.9% | -26.7% | 0.18 | 0.03 | 1.2x | 157 | 48% |
| Buy and hold | 8.8% | -27.2% | 0.77 | 0.32 | 4.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 78-day return is greater than -11%
- Sell — Sell when the 78-day return drops to -11% or below