Trend-Following Backtester · Guide · backtest 한국어
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Axis Gold ETF backtest
10 trend-following strategies were compared on the full daily history of Axis Gold ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 97% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR -16.6%, drawdown -100.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR -18.3%, MDD -100.0%, Sharpe 0.44, 97% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR -4.5%, MDD -99.7%, exposure 29%.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 97% n=12, threshold=-0.06 |
-18.3% | -100.0% | 0.44 | -0.18 | 0.0x | 63 | 97% |
| MACD fast=17, slow=47, signal=22 |
-23.7% | -100.0% | 0.36 | -0.24 | 0.0x | 143 | 49% |
| Parabolic SAR step=0.04, maxStep=0.22 |
-33.2% | -100.0% | 0.35 | -0.33 | 0.0x | 466 | 50% |
| Supertrend period=25, mult=5 |
-23.0% | -100.0% | 0.25 | -0.23 | 0.0x | 38 | 57% |
| 볼린저 밴드 돌파 n=29, k=2.3 |
-4.5% | -99.7% | 0.25 | -0.04 | 0.5x | 94 | 29% |
| ADX / DI 방향성 period=33, threshold=16 |
-21.8% | -100.0% | 0.25 | -0.22 | 0.0x | 68 | 53% |
| EMA 크로스오버 fast=90, slow=101 |
-40.9% | -100.0% | 0.25 | -0.41 | 0.0x | 17 | 65% |
| SMA 크로스오버 fast=46, slow=128 |
-41.3% | -100.0% | 0.25 | -0.41 | 0.0x | 30 | 60% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=19, mult=3.3 |
-25.7% | -99.6% | -0.05 | -0.26 | 0.0x | 32 | 26% |
| Donchian 채널 돌파 entryN=112, exitN=26 |
-27.2% | -99.7% | -0.13 | -0.27 | 0.0x | 32 | 30% |
| Buy and hold | -16.6% | -100.0% | 0.51 | -0.17 | 0.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 12-day return is greater than -6%
- Sell — Sell when the 12-day return drops to -6% or below