Trend-Following Backtester · Guide · backtest 한국어
etf · BR
Gold - Trend ETF LBMA Ouro Fundo Investimento Cotas de Fundo de Indice Investiment Exterior backtest
10 trend-following strategies were compared on the full daily history of Gold - Trend ETF LBMA Ouro Fundo Investimento Cotas de Fundo de Indice Investiment Exterior. 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 15.1%, MDD -12.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 14.3%, drawdown -27.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 15.1%, MDD -12.6%, Sharpe 1.15, 38% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 16.8%, MDD -18.0%, exposure 59%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 15.3%p (CAGR 15.1%, MDD -12.6%, exposure 38%).
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=57, k=3 |
15.1% | -12.6% | 1.15 | 1.20 | 2.2x | 8 | 38% |
| Donchian 채널 돌파 entryN=84, exitN=43 |
16.5% | -15.3% | 1.10 | 1.08 | 2.4x | 6 | 57% |
| SMA 크로스오버 fast=23, slow=133 |
16.8% | -18.0% | 1.09 | 0.93 | 2.4x | 6 | 59% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=23, mult=3.4 |
13.1% | -15.7% | 1.00 | 0.83 | 2.0x | 10 | 40% |
| EMA 크로스오버 fast=44, slow=59 |
14.5% | -18.0% | 0.94 | 0.80 | 2.1x | 10 | 64% |
| ROC 모멘텀 n=128, threshold=0.11 |
11.7% | -18.0% | 0.88 | 0.65 | 1.9x | 14 | 41% |
| ADX / DI 방향성 period=39, threshold=13 |
10.2% | -16.4% | 0.81 | 0.62 | 1.7x | 12 | 37% |
| Supertrend period=8, mult=4.4 |
7.8% | -34.2% | 0.57 | 0.23 | 1.5x | 18 | 65% |
| MACD fast=38, slow=43, signal=40 |
-0.4% | -29.9% | 0.04 | -0.01 | 1.0x | 41 | 45% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-0.7% | -39.6% | 0.02 | -0.02 | 1.0x | 47 | 53% |
| Buy and hold | 14.3% | -27.9% | 0.79 | 0.51 | 2.1x | 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 57-day average (3× volatility)
- Sell — Sell when the close falls back to the 57-day middle average