Trend-Following Backtester · Guide · backtest 한국어
etf · IN
UTI - Gold ETF backtest
10 trend-following strategies were compared on the full daily history of UTI - Gold ETF. 2 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 19.1%, drawdown -23.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 19.7%, MDD -23.4%, Sharpe 1.25, 93% 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=76, threshold=-0.07 |
19.7% | -23.4% | 1.25 | 0.84 | 4.4x | 17 | 93% |
| Donchian 채널 돌파 entryN=23, exitN=62 |
19.2% | -23.4% | 1.24 | 0.82 | 4.2x | 7 | 83% |
| EMA 크로스오버 fast=49, slow=125 |
18.5% | -23.4% | 1.22 | 0.79 | 4.1x | 7 | 79% |
| SMA 크로스오버 fast=42, slow=209 |
18.4% | -23.4% | 1.21 | 0.79 | 4.0x | 7 | 76% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=23, mult=2.3 |
13.7% | -17.9% | 1.05 | 0.76 | 2.9x | 24 | 50% |
| 볼린저 밴드 돌파 n=55, k=1.4 |
13.5% | -18.2% | 1.03 | 0.74 | 2.8x | 36 | 52% |
| ADX / DI 방향성 period=39, threshold=16 |
10.7% | -26.5% | 0.99 | 0.40 | 2.3x | 20 | 57% |
| Supertrend period=26, mult=4.5 |
12.8% | -18.3% | 0.98 | 0.70 | 2.7x | 22 | 67% |
| Parabolic SAR step=0.015, maxStep=0.02 |
8.5% | -27.7% | 0.67 | 0.31 | 2.0x | 60 | 62% |
| MACD fast=22, slow=27, signal=23 |
6.5% | -23.8% | 0.57 | 0.27 | 1.7x | 79 | 50% |
| Buy and hold | 19.1% | -23.4% | 1.20 | 0.82 | 4.2x | 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 76-day return is greater than -7%
- Sell — Sell when the 76-day return drops to -7% or below