Trend-Following Backtester · Guide · backtest 한국어
etf · JP
NEXT FUNDS Gold Price Exchange Traded Fund backtest
10 trend-following strategies were compared on the full daily history of NEXT FUNDS Gold Price Exchange Traded Fund. 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 10.9%, drawdown -25.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.4%, MDD -23.4%, Sharpe 0.69, 71% 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=114, exitN=93 |
9.4% | -23.4% | 0.69 | 0.40 | 4.9x | 12 | 71% |
| SMA 크로스오버 fast=55, slow=202 |
9.4% | -25.7% | 0.69 | 0.37 | 4.8x | 14 | 69% |
| EMA 크로스오버 fast=46, slow=184 |
9.3% | -24.9% | 0.68 | 0.37 | 4.8x | 14 | 69% |
| ROC 모멘텀 n=148, threshold=-0.04 |
8.4% | -34.4% | 0.61 | 0.25 | 4.1x | 61 | 84% |
| 볼린저 밴드 돌파 n=26, k=3.2 |
2.6% | -13.6% | 0.43 | 0.19 | 1.6x | 24 | 9% |
| ADX / DI 방향성 period=87, threshold=13 |
3.8% | -27.5% | 0.43 | 0.14 | 1.9x | 16 | 17% |
| Supertrend period=11, mult=4.9 |
3.1% | -42.2% | 0.31 | 0.07 | 1.7x | 70 | 61% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=15, mult=4 |
0.5% | -19.1% | 0.11 | 0.03 | 1.1x | 22 | 5% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-0.5% | -45.1% | 0.03 | -0.01 | 0.9x | 128 | 54% |
| MACD fast=13, slow=49, signal=17 |
-1.2% | -46.0% | -0.04 | -0.03 | 0.8x | 211 | 50% |
| Buy and hold | 10.9% | -25.2% | 0.71 | 0.43 | 6.2x | 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 114 days
- Sell — Sell when price breaks below the lowest low of the last 93 days