Trend-Following Backtester · Guide · backtest 한국어
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Aditya Birla Sun Life Gold ETF backtest
10 trend-following strategies were compared on the full daily history of Aditya Birla Sun Life Gold ETF. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.7%, MDD -16.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR -17.4%, drawdown -99.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.1%, MDD -25.5%, Sharpe 0.62, 61% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 25.5%p higher than buy and hold, while drawdown improves by 73.7%p (CAGR 2.7%, MDD -16.3%, exposure 14%).
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=56, slow=213 |
8.1% | -25.5% | 0.62 | 0.32 | 3.2x | 13 | 61% |
| Donchian 채널 돌파 entryN=34, exitN=52 |
5.0% | -35.0% | 0.42 | 0.14 | 2.1x | 24 | 47% |
| 볼린저 밴드 돌파 n=45, k=3 |
3.5% | -18.4% | 0.39 | 0.19 | 1.7x | 22 | 17% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=14, mult=3.7 |
2.7% | -16.3% | 0.35 | 0.17 | 1.5x | 8 | 14% |
| ROC 모멘텀 n=136, threshold=0.16 |
2.5% | -25.6% | 0.29 | 0.10 | 1.5x | 60 | 24% |
| Supertrend period=17, mult=2.6 |
1.7% | -46.1% | 0.20 | 0.04 | 1.3x | 70 | 48% |
| ADX / DI 방향성 period=29, threshold=11 |
-20.6% | -99.2% | 0.08 | -0.21 | 0.0x | 62 | 78% |
| EMA 크로스오버 fast=59, slow=142 |
-21.1% | -99.2% | 0.05 | -0.21 | 0.0x | 13 | 53% |
| MACD fast=16, slow=27, signal=16 |
-0.8% | -56.0% | 0.02 | -0.01 | 0.9x | 201 | 52% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-25.0% | -99.4% | -0.13 | -0.25 | 0.0x | 93 | 54% |
| Buy and hold | -17.4% | -99.2% | 0.22 | -0.18 | 0.1x | 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 56-day average price crosses above the 213-day average
- Sell — Sell (to cash) when the 56-day average falls below the 213-day average