Trend-Following Backtester · Guide · backtest 한국어
etf · AU
BetaShares Gold Bullion ETF - Currency Hedged backtest
10 trend-following strategies were compared on the full daily history of BetaShares Gold Bullion ETF - Currency Hedged. 2 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 4.8%, MDD -15.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.8%, drawdown -42.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.8%, MDD -15.9%, Sharpe 0.51, 24% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 26.9%p (CAGR 4.8%, MDD -15.9%, exposure 24%).
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=53, k=2.6 |
4.8% | -15.9% | 0.51 | 0.31 | 2.1x | 32 | 24% |
| SMA 크로스오버 fast=57, slow=163 |
4.8% | -26.8% | 0.42 | 0.18 | 2.1x | 26 | 55% |
| Donchian 채널 돌파 entryN=104, exitN=103 |
4.5% | -26.4% | 0.40 | 0.17 | 2.0x | 16 | 52% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=18, mult=3.5 |
3.3% | -25.7% | 0.35 | 0.13 | 1.6x | 54 | 29% |
| EMA 크로스오버 fast=43, slow=57 |
3.8% | -37.2% | 0.33 | 0.10 | 1.8x | 38 | 55% |
| Supertrend period=7, mult=4.8 |
2.7% | -44.2% | 0.27 | 0.06 | 1.5x | 78 | 54% |
| MACD fast=44, slow=55, signal=25 |
1.9% | -39.2% | 0.21 | 0.05 | 1.3x | 84 | 46% |
| ROC 모멘텀 n=143, threshold=0.11 |
1.0% | -31.6% | 0.15 | 0.03 | 1.2x | 94 | 26% |
| ADX / DI 방향성 period=30, threshold=11 |
0.9% | -54.8% | 0.13 | 0.02 | 1.1x | 134 | 57% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-1.0% | -46.6% | -0.02 | -0.02 | 0.9x | 114 | 49% |
| Buy and hold | 4.8% | -42.7% | 0.35 | 0.11 | 2.0x | 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 53-day average (2.6× volatility)
- Sell — Sell when the close falls back to the 53-day middle average