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 4.1%, MDD -30.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 3.6%, drawdown -59.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.9%, MDD -35.1%, Sharpe 0.40, 49% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 24.9%p (CAGR 4.1%, MDD -30.4%, exposure 16%).
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 |
5.9% | -35.1% | 0.40 | 0.17 | 2.5x | 54 | 49% |
| 볼린저 밴드 돌파 n=20, k=2.7 |
4.1% | -30.4% | 0.36 | 0.14 | 1.9x | 60 | 16% |
| ADX / DI 방향성 period=39, threshold=21 |
3.4% | -38.7% | 0.32 | 0.09 | 1.7x | 4 | 5% |
| MACD fast=18, slow=29, signal=19 |
4.2% | -36.8% | 0.32 | 0.11 | 1.9x | 171 | 52% |
| Supertrend period=11, mult=5 |
2.6% | -49.3% | 0.24 | 0.05 | 1.5x | 72 | 46% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=15, mult=1.9 |
1.8% | -48.9% | 0.19 | 0.04 | 1.3x | 106 | 33% |
| Parabolic SAR step=0.005, maxStep=0.36 |
1.6% | -46.0% | 0.18 | 0.03 | 1.3x | 119 | 47% |
| EMA 크로스오버 fast=30, slow=34 |
1.2% | -55.7% | 0.16 | 0.02 | 1.2x | 76 | 50% |
| 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 | 3.6% | -59.9% | 0.27 | 0.06 | 1.8x | 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