Trend-Following Backtester · Guide · backtest 한국어
etf · CA
Global X Gold Producer Equity Covered Call ETF Trust Unit E backtest
10 trend-following strategies were compared on the full daily history of Global X Gold Producer Equity Covered Call ETF Trust Unit E. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.4%, MDD -13.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR -5.0%, drawdown -82.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.5%, MDD -16.4%, Sharpe 0.49, 5% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 4.1%, MDD -41.6%, exposure 23%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.4%p higher than buy and hold, while drawdown improves by 66.5%p (CAGR 0.4%, MDD -13.2%, exposure 3%).
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=54, k=3.3 |
3.5% | -16.4% | 0.49 | 0.21 | 1.7x | 4 | 5% |
| Donchian 채널 돌파 entryN=140, exitN=41 |
4.1% | -41.6% | 0.34 | 0.10 | 1.9x | 18 | 23% |
| ROC 모멘텀 n=110, threshold=0.12 |
3.2% | -35.9% | 0.28 | 0.09 | 1.6x | 80 | 24% |
| SMA 크로스오버 fast=51, slow=238 |
2.7% | -43.9% | 0.23 | 0.06 | 1.5x | 12 | 37% |
| EMA 크로스오버 fast=57, slow=115 |
2.6% | -49.2% | 0.23 | 0.05 | 1.5x | 18 | 36% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=25, mult=1.3 |
1.1% | -43.8% | 0.15 | 0.03 | 1.2x | 112 | 37% |
| ADX / DI 방향성 period=33, threshold=23 |
0.4% | -13.2% | 0.10 | 0.03 | 1.1x | 12 | 3% |
| Supertrend period=19, mult=4.2 |
-1.2% | -57.4% | 0.04 | -0.02 | 0.8x | 82 | 45% |
| MACD fast=19, slow=37, signal=40 |
-4.2% | -57.5% | -0.10 | -0.07 | 0.5x | 133 | 51% |
| Parabolic SAR step=0.015, maxStep=0.24 |
-8.6% | -81.0% | -0.34 | -0.11 | 0.3x | 268 | 50% |
| Buy and hold | -5.0% | -82.9% | 0.01 | -0.06 | 0.5x | 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 54-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 54-day middle average