Trend-Following Backtester · Guide · backtest 한국어
etf · JP
Japan Physical Gold ETF backtest
10 trend-following strategies were compared on the full daily history of Japan Physical Gold ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.4%, drawdown -27.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.4%, MDD -24.6%, Sharpe 0.70, 94% 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=78, threshold=-0.09 |
10.4% | -24.6% | 0.70 | 0.42 | 4.9x | 42 | 94% |
| EMA 크로스오버 fast=48, slow=73 |
9.4% | -29.0% | 0.68 | 0.33 | 4.3x | 26 | 72% |
| Donchian 채널 돌파 entryN=44, exitN=103 |
9.9% | -26.5% | 0.68 | 0.37 | 4.5x | 14 | 86% |
| SMA 크로스오버 fast=53, slow=135 |
8.5% | -26.7% | 0.63 | 0.32 | 3.7x | 26 | 67% |
| 볼린저 밴드 돌파 n=24, k=2.9 |
3.6% | -18.0% | 0.49 | 0.20 | 1.8x | 36 | 13% |
| Supertrend period=10, mult=3.9 |
3.9% | -45.6% | 0.38 | 0.09 | 1.9x | 104 | 55% |
| Parabolic SAR step=0.005, maxStep=0.36 |
3.8% | -36.8% | 0.37 | 0.10 | 1.8x | 108 | 51% |
| ADX / DI 방향성 period=24, threshold=25 |
2.6% | -22.0% | 0.32 | 0.12 | 1.5x | 28 | 11% |
| MACD fast=22, slow=58, signal=20 |
3.3% | -29.0% | 0.32 | 0.11 | 1.7x | 133 | 48% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=24, mult=1.5 |
2.7% | -46.1% | 0.27 | 0.06 | 1.5x | 118 | 55% |
| Buy and hold | 11.4% | -27.2% | 0.73 | 0.42 | 5.7x | 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 78-day return is greater than -9%
- Sell — Sell when the 78-day return drops to -9% or below