Trend-Following Backtester · Guide · backtest 한국어
etf · DE
VanEck S&P Global Mining UCITS ETF A USD backtest
10 trend-following strategies were compared on the full daily history of VanEck S&P Global Mining UCITS ETF A USD. 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 14.4%, drawdown -36.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.5%, MDD -18.7%, Sharpe 0.67, 33% exposure.
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=58, k=2 |
9.5% | -18.7% | 0.67 | 0.51 | 2.1x | 22 | 33% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=13, mult=2.7 |
8.7% | -20.4% | 0.62 | 0.43 | 2.0x | 40 | 40% |
| ADX / DI 방향성 period=38, threshold=17 |
6.0% | -19.9% | 0.54 | 0.30 | 1.6x | 26 | 25% |
| SMA 크로스오버 fast=28, slow=116 |
8.9% | -34.4% | 0.53 | 0.26 | 2.0x | 24 | 60% |
| Supertrend period=10, mult=5 |
8.3% | -39.1% | 0.52 | 0.21 | 1.9x | 38 | 53% |
| ROC 모멘텀 n=76, threshold=0.03 |
8.1% | -38.6% | 0.51 | 0.21 | 1.9x | 88 | 50% |
| Donchian 채널 돌파 entryN=111, exitN=11 |
5.3% | -18.4% | 0.47 | 0.29 | 1.5x | 28 | 21% |
| EMA 크로스오버 fast=53, slow=75 |
5.3% | -54.1% | 0.35 | 0.10 | 1.5x | 22 | 63% |
| MACD fast=12, slow=58, signal=8 |
1.3% | -34.8% | 0.16 | 0.04 | 1.1x | 143 | 52% |
| Parabolic SAR step=0.035, maxStep=0.1 |
1.2% | -40.8% | 0.16 | 0.03 | 1.1x | 161 | 55% |
| Buy and hold | 14.4% | -36.7% | 0.63 | 0.39 | 3.0x | 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 58-day average (2× volatility)
- Sell — Sell when the close falls back to the 58-day middle average