Trend-Following Backtester · Guide · backtest 한국어
etf · CN
HuaAn Gold ETF Fund backtest
10 trend-following strategies were compared on the full daily history of HuaAn Gold ETF Fund. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.6%, MDD -23.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.9%, drawdown -30.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.8%, MDD -24.9%, Sharpe 0.82, 59% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 5.6%p (CAGR 7.6%, MDD -23.9%, exposure 54%).
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=36, slow=71 |
9.8% | -24.9% | 0.82 | 0.39 | 3.4x | 38 | 59% |
| Donchian 채널 돌파 entryN=15, exitN=74 |
9.1% | -25.3% | 0.72 | 0.36 | 3.1x | 29 | 85% |
| ADX / DI 방향성 period=47, threshold=7 |
7.6% | -23.9% | 0.69 | 0.32 | 2.6x | 79 | 54% |
| EMA 크로스오버 fast=20, slow=70 |
7.9% | -24.9% | 0.68 | 0.32 | 2.7x | 37 | 61% |
| Supertrend period=9, mult=4.5 |
6.2% | -21.6% | 0.60 | 0.28 | 2.2x | 63 | 52% |
| 볼린저 밴드 돌파 n=58, k=1.4 |
5.9% | -16.8% | 0.57 | 0.35 | 2.1x | 55 | 46% |
| ROC 모멘텀 n=140, threshold=0.03 |
6.3% | -27.4% | 0.57 | 0.23 | 2.2x | 64 | 52% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=26, mult=3.5 |
5.1% | -18.0% | 0.53 | 0.28 | 1.9x | 43 | 36% |
| Parabolic SAR step=0.005, maxStep=0.2 |
5.1% | -22.8% | 0.52 | 0.22 | 1.9x | 85 | 51% |
| MACD fast=15, slow=38, signal=13 |
2.9% | -28.2% | 0.32 | 0.10 | 1.5x | 147 | 49% |
| Buy and hold | 9.9% | -30.5% | 0.72 | 0.32 | 3.4x | 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 36-day average price crosses above the 71-day average
- Sell — Sell (to cash) when the 36-day average falls below the 71-day average