Trend-Following Backtester · Guide · backtest 한국어
etf · CH
UBS Gold hCHF ETF Units -CHF acc- backtest
10 trend-following strategies were compared on the full daily history of UBS Gold hCHF ETF Units -CHF acc-. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.9%, MDD -26.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.9%, drawdown -48.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.2%, MDD -31.6%, Sharpe 0.54, 58% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 17.1%p (CAGR 4.9%, MDD -26.5%, exposure 44%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=54, slow=150 |
6.2% | -31.6% | 0.54 | 0.20 | 2.7x | 28 | 58% |
| Donchian 채널 돌파 entryN=148, exitN=80 |
4.9% | -26.5% | 0.46 | 0.18 | 2.2x | 14 | 44% |
| 볼린저 밴드 돌파 n=56, k=2.1 |
3.4% | -24.1% | 0.37 | 0.14 | 1.7x | 56 | 34% |
| EMA 크로스오버 fast=29, slow=77 |
4.0% | -45.6% | 0.37 | 0.09 | 1.9x | 42 | 57% |
| Supertrend period=10, mult=4.7 |
3.6% | -34.5% | 0.37 | 0.10 | 1.8x | 68 | 50% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=26, mult=2.1 |
2.8% | -36.5% | 0.31 | 0.08 | 1.6x | 82 | 40% |
| ROC 모멘텀 n=85, threshold=-0.04 |
2.9% | -55.4% | 0.28 | 0.05 | 1.6x | 128 | 74% |
| MACD fast=23, slow=55, signal=17 |
0.9% | -43.0% | 0.14 | 0.02 | 1.2x | 151 | 48% |
| ADX / DI 방향성 period=37, threshold=16 |
-0.2% | -40.7% | 0.02 | -0.01 | 1.0x | 54 | 21% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-0.7% | -61.3% | -0.01 | -0.01 | 0.9x | 132 | 51% |
| Buy and hold | 4.9% | -48.7% | 0.37 | 0.10 | 2.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 54-day average price crosses above the 150-day average
- Sell — Sell (to cash) when the 54-day average falls below the 150-day average