Trend-Following Backtester · Guide · backtest 한국어
etf · CA
iShares Gold Bullion ETF Hedged backtest
10 trend-following strategies were compared on the full daily history of iShares Gold Bullion ETF Hedged. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.1%, MDD -32.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.2%, drawdown -46.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.0%, MDD -10.8%, Sharpe 0.57, 9% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.1%, MDD -32.6%, exposure 58%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.3%p lower than buy and hold, while drawdown improves by 35.1%p (CAGR 6.1%, MDD -32.6%, exposure 58%).
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=37, k=3.2 |
3.0% | -10.8% | 0.57 | 0.27 | 1.6x | 14 | 9% |
| SMA 크로스오버 fast=55, slow=148 |
6.1% | -32.6% | 0.52 | 0.19 | 2.6x | 28 | 58% |
| Donchian 채널 돌파 entryN=116, exitN=81 |
5.3% | -35.4% | 0.46 | 0.15 | 2.3x | 20 | 52% |
| EMA 크로스오버 fast=48, slow=71 |
4.9% | -41.8% | 0.42 | 0.12 | 2.2x | 38 | 58% |
| Supertrend period=11, mult=4.2 |
4.1% | -39.2% | 0.39 | 0.10 | 1.9x | 82 | 53% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=21, mult=2.7 |
3.3% | -32.3% | 0.35 | 0.10 | 1.7x | 70 | 37% |
| ROC 모멘텀 n=107, threshold=-0.04 |
3.8% | -47.9% | 0.33 | 0.08 | 1.8x | 100 | 72% |
| ADX / DI 방향성 period=57, threshold=12 |
2.7% | -30.3% | 0.32 | 0.09 | 1.5x | 34 | 27% |
| MACD fast=21, slow=82, signal=23 |
2.9% | -32.0% | 0.29 | 0.09 | 1.6x | 114 | 47% |
| Parabolic SAR step=0.02, maxStep=0.14 |
-2.8% | -63.4% | -0.17 | -0.04 | 0.6x | 288 | 53% |
| Buy and hold | 6.2% | -46.0% | 0.44 | 0.14 | 2.6x | 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 37-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 37-day middle average