Trend-Following Backtester · Guide · backtest 한국어
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Kotak Gold ETF backtest
10 trend-following strategies were compared on the full daily history of Kotak Gold ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.1%, drawdown -27.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.7%, MDD -24.1%, Sharpe 0.88, 75% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=61, exitN=96 |
11.7% | -24.1% | 0.88 | 0.48 | 7.5x | 13 | 75% |
| EMA 크로스오버 fast=24, slow=158 |
11.6% | -24.1% | 0.87 | 0.48 | 7.4x | 23 | 72% |
| SMA 크로스오버 fast=49, slow=184 |
11.4% | -25.1% | 0.87 | 0.45 | 7.2x | 17 | 71% |
| ROC 모멘텀 n=141, threshold=-0.04 |
11.2% | -29.6% | 0.82 | 0.38 | 7.0x | 67 | 82% |
| Supertrend period=17, mult=4.9 |
6.4% | -32.8% | 0.56 | 0.19 | 3.1x | 50 | 59% |
| 볼린저 밴드 돌파 n=58, k=2.2 |
5.3% | -18.8% | 0.51 | 0.28 | 2.6x | 60 | 39% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=25, mult=1.9 |
5.2% | -27.6% | 0.49 | 0.19 | 2.5x | 80 | 46% |
| Parabolic SAR step=0.005, maxStep=0.22 |
4.2% | -32.8% | 0.40 | 0.13 | 2.1x | 136 | 54% |
| ADX / DI 방향성 period=33, threshold=8 |
4.6% | -40.3% | 0.40 | 0.11 | 2.3x | 136 | 73% |
| MACD fast=19, slow=22, signal=11 |
3.5% | -23.3% | 0.34 | 0.15 | 1.9x | 263 | 51% |
| Buy and hold | 13.1% | -27.9% | 0.86 | 0.47 | 9.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 61 days
- Sell — Sell when price breaks below the lowest low of the last 96 days