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. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
3 of 10 beat buy and hold (CAGR 19.3%, drawdown -23.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.8%, MDD -23.4%, Sharpe 1.29, 76% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 19.8%, MDD -23.4%, exposure 93%.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=69, slow=178 |
19.8% | -23.4% | 1.29 | 0.84 | 4.5x | 6 | 76% |
| ROC 모멘텀 n=76, threshold=-0.07 |
19.8% | -23.4% | 1.25 | 0.85 | 4.6x | 17 | 93% |
| Donchian 채널 돌파 entryN=17, exitN=61 |
19.4% | -23.4% | 1.24 | 0.83 | 4.4x | 7 | 85% |
| EMA 크로스오버 fast=49, slow=135 |
18.6% | -23.4% | 1.21 | 0.79 | 4.2x | 5 | 79% |
| ADX / DI 방향성 period=60, threshold=16 |
13.4% | -23.3% | 1.20 | 0.57 | 2.9x | 8 | 60% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=27, mult=2.1 |
13.5% | -19.9% | 1.04 | 0.68 | 2.9x | 26 | 49% |
| Supertrend period=31, mult=4.5 |
12.5% | -23.7% | 0.96 | 0.53 | 2.7x | 22 | 68% |
| 볼린저 밴드 돌파 n=51, k=1.4 |
12.3% | -19.6% | 0.94 | 0.62 | 2.6x | 40 | 51% |
| Parabolic SAR step=0.04, maxStep=0.04 |
9.3% | -27.3% | 0.74 | 0.34 | 2.1x | 100 | 56% |
| MACD fast=16, slow=30, signal=23 |
7.3% | -23.0% | 0.62 | 0.32 | 1.8x | 88 | 50% |
| Buy and hold | 19.3% | -23.4% | 1.20 | 0.82 | 4.4x | 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 69-day average price crosses above the 178-day average
- Sell — Sell (to cash) when the 69-day average falls below the 178-day average