Trend-Following Backtester · Guide · backtest 한국어
etf · HK
CSOP Gold Futures Daily (2x) Leveraged Product backtest
10 trend-following strategies were compared on the full daily history of CSOP Gold Futures Daily (2x) Leveraged Product. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 16.8%, MDD -32.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 17.7%, drawdown -52.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 23.4%, MDD -44.3%, Sharpe 0.85, 59% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 8.1%p (CAGR 16.8%, MDD -32.4%, exposure 43%).
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=51, slow=120 |
23.4% | -44.3% | 0.85 | 0.53 | 3.6x | 8 | 59% |
| 볼린저 밴드 돌파 n=46, k=2.9 |
15.4% | -32.4% | 0.76 | 0.48 | 2.4x | 8 | 20% |
| EMA 크로스오버 fast=36, slow=75 |
19.1% | -44.3% | 0.73 | 0.43 | 2.9x | 12 | 59% |
| Donchian 채널 돌파 entryN=46, exitN=21 |
16.8% | -32.4% | 0.73 | 0.52 | 2.6x | 18 | 43% |
| ROC 모멘텀 n=120, threshold=0.14 |
15.1% | -44.3% | 0.65 | 0.34 | 2.4x | 32 | 41% |
| Supertrend period=16, mult=2.8 |
13.3% | -31.5% | 0.63 | 0.42 | 2.2x | 74 | 52% |
| Keltner 채널 돌파 emaPeriod=65, atrPeriod=23, mult=2.7 |
11.8% | -32.4% | 0.56 | 0.36 | 2.0x | 28 | 43% |
| MACD fast=20, slow=52, signal=22 |
10.2% | -34.8% | 0.51 | 0.29 | 1.8x | 49 | 44% |
| Parabolic SAR step=0.04, maxStep=0.32 |
8.6% | -40.5% | 0.46 | 0.21 | 1.7x | 160 | 51% |
| ADX / DI 방향성 period=39, threshold=17 |
4.4% | -32.4% | 0.31 | 0.13 | 1.3x | 14 | 16% |
| Buy and hold | 17.7% | -52.4% | 0.64 | 0.34 | 2.7x | 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 51-day average price crosses above the 120-day average
- Sell — Sell (to cash) when the 51-day average falls below the 120-day average