Trend-Following Backtester · Guide · backtest 한국어
etf · JP
Japan Physical Platinum ETF backtest
10 trend-following strategies were compared on the full daily history of Japan Physical Platinum ETF. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.3%, MDD -32.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.1%, drawdown -59.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.0%, MDD -36.7%, Sharpe 0.41, 49% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 23.3%p (CAGR 4.3%, MDD -32.1%, exposure 17%).
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=31, exitN=28 |
6.0% | -36.7% | 0.41 | 0.16 | 2.6x | 55 | 49% |
| 볼린저 밴드 돌파 n=20, k=2.7 |
4.3% | -32.1% | 0.37 | 0.13 | 2.0x | 61 | 17% |
| MACD fast=18, slow=29, signal=19 |
4.7% | -36.8% | 0.34 | 0.13 | 2.1x | 171 | 52% |
| ADX / DI 방향성 period=39, threshold=21 |
3.4% | -38.7% | 0.32 | 0.09 | 1.7x | 4 | 5% |
| Supertrend period=11, mult=5 |
2.3% | -49.3% | 0.22 | 0.05 | 1.5x | 73 | 45% |
| Parabolic SAR step=0.005, maxStep=0.36 |
2.1% | -46.0% | 0.21 | 0.05 | 1.4x | 119 | 48% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=15, mult=1.9 |
1.5% | -48.9% | 0.17 | 0.03 | 1.3x | 107 | 33% |
| EMA 크로스오버 fast=30, slow=34 |
0.8% | -55.7% | 0.14 | 0.01 | 1.1x | 77 | 49% |
| ROC 모멘텀 n=56, threshold=0.12 |
0.2% | -41.7% | 0.09 | 0.00 | 1.0x | 80 | 13% |
| SMA 크로스오버 fast=17, slow=89 |
-0.2% | -61.8% | 0.09 | -0.00 | 1.0x | 66 | 48% |
| Buy and hold | 4.1% | -59.9% | 0.29 | 0.07 | 1.9x | 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 31 days
- Sell — Sell when price breaks below the lowest low of the last 28 days