Trend-Following Backtester · Guide · backtest 한국어
etf · CA
BMO Equal Weight Global Gold Index ETF CAD Units Trust Units backtest
10 trend-following strategies were compared on the full daily history of BMO Equal Weight Global Gold Index ETF CAD Units Trust Units. 2 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.9%, MDD -33.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 8.9%, drawdown -60.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 13.9%, MDD -36.0%, Sharpe 0.65, 41% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.0%p higher than buy and hold, while drawdown improves by 24.9%p (CAGR 9.9%, MDD -33.6%, exposure 27%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=128, threshold=0.09 |
13.9% | -36.0% | 0.65 | 0.39 | 5.9x | 76 | 41% |
| Donchian 채널 돌파 entryN=137, exitN=33 |
9.9% | -33.6% | 0.56 | 0.29 | 3.6x | 20 | 27% |
| SMA 크로스오버 fast=42, slow=200 |
8.5% | -41.5% | 0.43 | 0.21 | 3.1x | 18 | 47% |
| EMA 크로스오버 fast=79, slow=161 |
8.1% | -45.7% | 0.42 | 0.18 | 2.9x | 19 | 49% |
| Supertrend period=23, mult=4.3 |
7.6% | -41.2% | 0.41 | 0.18 | 2.7x | 102 | 50% |
| 볼린저 밴드 돌파 n=58, k=3.4 |
3.1% | -15.8% | 0.35 | 0.20 | 1.5x | 4 | 6% |
| ADX / DI 방향성 period=19, threshold=33 |
2.0% | -15.1% | 0.32 | 0.14 | 1.3x | 8 | 3% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=17, mult=1.8 |
3.1% | -43.3% | 0.25 | 0.07 | 1.5x | 124 | 40% |
| Parabolic SAR step=0.025, maxStep=0.34 |
0.3% | -60.6% | 0.15 | 0.00 | 1.0x | 287 | 50% |
| MACD fast=9, slow=45, signal=12 |
-4.6% | -66.3% | -0.04 | -0.07 | 0.5x | 237 | 50% |
| Buy and hold | 8.9% | -60.9% | 0.41 | 0.15 | 3.2x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 128-day return is greater than 9%
- Sell — Sell when the 128-day return drops to 9% or below