Trend-Following Backtester · Guide · backtest 한국어
etf · CA
iShares S&P/TSX Global Gold Index ETF backtest
10 trend-following strategies were compared on the full daily history of iShares S&P/TSX Global Gold Index ETF. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.0%, drawdown -73.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.3%, MDD -19.0%, Sharpe 0.30, 5% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 2.7%, MDD -67.4%, exposure 54%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=3.5 |
2.3% | -19.0% | 0.30 | 0.12 | 1.8x | 10 | 5% |
| SMA 크로스오버 fast=47, slow=159 |
2.7% | -67.4% | 0.23 | 0.04 | 1.9x | 52 | 54% |
| Donchian 채널 돌파 entryN=7, exitN=32 |
2.3% | -78.0% | 0.23 | 0.03 | 1.8x | 160 | 79% |
| EMA 크로스오버 fast=57, slow=141 |
1.7% | -73.7% | 0.20 | 0.02 | 1.5x | 48 | 54% |
| Supertrend period=5, mult=4.9 |
1.6% | -83.0% | 0.19 | 0.02 | 1.5x | 102 | 52% |
| ROC 모멘텀 n=45, threshold=-0.04 |
0.2% | -78.0% | 0.14 | 0.00 | 1.0x | 342 | 65% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=30, mult=1.5 |
0.5% | -70.9% | 0.14 | 0.01 | 1.1x | 164 | 43% |
| MACD fast=19, slow=53, signal=15 |
-3.0% | -78.4% | 0.01 | -0.04 | 0.5x | 305 | 51% |
| ADX / DI 방향성 period=35, threshold=26 |
-0.2% | -28.9% | 0.01 | -0.01 | 1.0x | 10 | 2% |
| Parabolic SAR step=0.01, maxStep=0.24 |
-3.5% | -82.7% | -0.01 | -0.04 | 0.4x | 358 | 53% |
| Buy and hold | 8.0% | -73.7% | 0.39 | 0.11 | 7.1x | 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 54-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 54-day middle average