Trend-Following Backtester · Guide · backtest 한국어
etf · TH
KTAM Gold ETF Tracker backtest
10 trend-following strategies were compared on the full daily history of KTAM Gold ETF Tracker. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.3%, MDD -23.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.9%, drawdown -36.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.3%, MDD -23.6%, Sharpe 0.62, 54% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 13.1%p (CAGR 6.3%, MDD -23.6%, exposure 54%).
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=16, slow=79 |
6.3% | -23.6% | 0.62 | 0.27 | 2.5x | 52 | 54% |
| Donchian 채널 돌파 entryN=119, exitN=69 |
5.6% | -21.7% | 0.59 | 0.26 | 2.3x | 18 | 48% |
| EMA 크로스오버 fast=37, slow=177 |
5.7% | -22.4% | 0.57 | 0.26 | 2.3x | 18 | 52% |
| ADX / DI 방향성 period=53, threshold=14 |
4.4% | -17.8% | 0.53 | 0.25 | 1.9x | 28 | 27% |
| 볼린저 밴드 돌파 n=41, k=3.5 |
2.7% | -11.7% | 0.41 | 0.23 | 1.5x | 22 | 14% |
| ROC 모멘텀 n=54, threshold=-0.03 |
3.5% | -45.4% | 0.35 | 0.08 | 1.7x | 136 | 77% |
| Supertrend period=11, mult=4.8 |
3.0% | -27.6% | 0.35 | 0.11 | 1.6x | 52 | 51% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=28, mult=3.2 |
2.3% | -27.1% | 0.30 | 0.09 | 1.4x | 50 | 30% |
| MACD fast=20, slow=44, signal=16 |
2.2% | -32.7% | 0.26 | 0.07 | 1.4x | 141 | 45% |
| Parabolic SAR step=0.005, maxStep=0.14 |
1.2% | -36.1% | 0.17 | 0.03 | 1.2x | 84 | 49% |
| Buy and hold | 5.9% | -36.7% | 0.48 | 0.16 | 2.4x | 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 16-day average price crosses above the 79-day average
- Sell — Sell (to cash) when the 16-day average falls below the 79-day average