Trend-Following Backtester · Guide · backtest 한국어
etf · HK
Value Gold ETF HKD backtest
10 trend-following strategies were compared on the full daily history of Value Gold ETF HKD. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.3%, MDD -9.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR -3.4%, drawdown -82.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.3%, MDD -9.8%, Sharpe 0.63, 9% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.8%p higher than buy and hold, while drawdown improves by 72.4%p (CAGR 3.3%, MDD -9.8%, exposure 9%).
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=35, k=3.2 |
3.3% | -9.8% | 0.63 | 0.34 | 1.7x | 12 | 9% |
| SMA 크로스오버 fast=54, slow=138 |
-3.4% | -80.7% | 0.10 | -0.04 | 0.6x | 24 | 56% |
| Donchian 채널 돌파 entryN=27, exitN=111 |
-4.0% | -80.2% | 0.08 | -0.05 | 0.5x | 24 | 81% |
| EMA 크로스오버 fast=52, slow=131 |
-4.3% | -80.7% | 0.07 | -0.05 | 0.5x | 24 | 57% |
| ADX / DI 방향성 period=17, threshold=29 |
-0.1% | -26.9% | 0.02 | -0.00 | 1.0x | 46 | 11% |
| ROC 모멘텀 n=109, threshold=-0.03 |
-5.5% | -80.6% | 0.02 | -0.07 | 0.4x | 100 | 67% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=17, mult=2.2 |
-5.7% | -80.2% | -0.01 | -0.07 | 0.4x | 82 | 39% |
| Supertrend period=8, mult=4.4 |
-6.8% | -81.7% | -0.05 | -0.08 | 0.3x | 94 | 53% |
| MACD fast=18, slow=53, signal=18 |
-8.6% | -84.8% | -0.13 | -0.10 | 0.2x | 139 | 50% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-12.4% | -89.5% | -0.33 | -0.14 | 0.1x | 212 | 51% |
| Buy and hold | -3.4% | -82.2% | 0.12 | -0.04 | 0.6x | 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 35-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 35-day middle average