Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Royal Mint Responsibly Sourced Physical Gold ETC backtest
10 trend-following strategies were compared on the full daily history of Royal Mint Responsibly Sourced Physical Gold ETC. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
5 of 10 beat buy and hold (CAGR 10.1%, drawdown -27.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.1%, MDD -27.3%, Sharpe 0.68, 64% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 13.3%, MDD -27.3%, exposure 81%.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=32, slow=70 |
13.1% | -27.3% | 0.68 | 0.48 | 2.2x | 22 | 64% |
| ROC 모멘텀 n=73, threshold=-0.04 |
13.3% | -27.3% | 0.67 | 0.49 | 2.2x | 26 | 81% |
| Donchian 채널 돌파 entryN=30, exitN=46 |
12.4% | -27.3% | 0.64 | 0.45 | 2.1x | 12 | 78% |
| EMA 크로스오버 fast=27, slow=174 |
11.6% | -27.3% | 0.62 | 0.42 | 2.0x | 8 | 68% |
| Supertrend period=5, mult=4.9 |
10.1% | -27.3% | 0.56 | 0.37 | 1.9x | 26 | 67% |
| 볼린저 밴드 돌파 n=35, k=3.5 |
7.2% | -27.3% | 0.47 | 0.26 | 1.6x | 4 | 12% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=9, mult=3 |
7.2% | -27.3% | 0.44 | 0.27 | 1.6x | 24 | 48% |
| ADX / DI 방향성 period=38, threshold=12 |
4.4% | -28.5% | 0.32 | 0.16 | 1.3x | 24 | 24% |
| MACD fast=18, slow=40, signal=22 |
1.8% | -28.9% | 0.19 | 0.06 | 1.1x | 67 | 44% |
| Parabolic SAR step=0.03, maxStep=0.34 |
-11.5% | -54.7% | -0.57 | -0.21 | 0.5x | 161 | 51% |
| Buy and hold | 10.1% | -27.6% | 0.51 | 0.36 | 1.9x | 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 32-day average price crosses above the 70-day average
- Sell — Sell (to cash) when the 32-day average falls below the 70-day average