Trend-Following Backtester · Guide · backtest 한국어
etf · CA
BMO Junior Gold Index ETF backtest
10 trend-following strategies were compared on the full daily history of BMO Junior Gold Index ETF. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.7%, MDD -37.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 5.6%, drawdown -81.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.3%, MDD -47.2%, Sharpe 0.57, 37% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 34.7%p (CAGR 9.7%, MDD -37.5%, exposure 26%).
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=127, threshold=0.1 |
11.3% | -47.2% | 0.57 | 0.24 | 5.9x | 92 | 37% |
| Donchian 채널 돌파 entryN=136, exitN=46 |
9.7% | -37.5% | 0.55 | 0.26 | 4.6x | 18 | 26% |
| ADX / DI 방향성 period=15, threshold=43 |
2.6% | -7.7% | 0.54 | 0.33 | 1.5x | 6 | 2% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=26, mult=4 |
6.4% | -44.1% | 0.40 | 0.14 | 2.8x | 42 | 31% |
| SMA 크로스오버 fast=35, slow=51 |
5.8% | -70.6% | 0.34 | 0.08 | 2.5x | 86 | 51% |
| Supertrend period=21, mult=4.4 |
3.4% | -71.9% | 0.26 | 0.05 | 1.7x | 94 | 46% |
| 볼린저 밴드 돌파 n=38, k=3.3 |
1.7% | -15.6% | 0.25 | 0.11 | 1.3x | 6 | 3% |
| EMA 크로스오버 fast=17, slow=48 |
2.9% | -69.3% | 0.24 | 0.04 | 1.6x | 86 | 51% |
| Parabolic SAR step=0.025, maxStep=0.16 |
-2.9% | -70.8% | 0.03 | -0.04 | 0.6x | 375 | 51% |
| MACD fast=12, slow=36, signal=12 |
-3.1% | -63.2% | 0.02 | -0.05 | 0.6x | 265 | 50% |
| Buy and hold | 5.6% | -81.8% | 0.34 | 0.07 | 2.5x | 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 127-day return is greater than 10%
- Sell — Sell when the 127-day return drops to 10% or below