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; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.3%, MDD -21.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.0%, drawdown -36.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.3%, MDD -21.7%, Sharpe 0.67, 40% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 14.9%p (CAGR 6.3%, MDD -21.7%, exposure 40%).
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=150, exitN=71 |
6.3% | -21.7% | 0.67 | 0.29 | 2.5x | 12 | 40% |
| SMA 크로스오버 fast=14, slow=69 |
5.9% | -25.1% | 0.59 | 0.24 | 2.4x | 59 | 53% |
| EMA 크로스오버 fast=50, slow=202 |
5.5% | -22.4% | 0.55 | 0.25 | 2.2x | 17 | 52% |
| ADX / DI 방향성 period=51, threshold=14 |
4.5% | -17.8% | 0.55 | 0.25 | 2.0x | 28 | 27% |
| ROC 모멘텀 n=56, threshold=-0.07 |
5.4% | -34.6% | 0.48 | 0.15 | 2.2x | 59 | 91% |
| Supertrend period=16, mult=4.6 |
4.0% | -28.7% | 0.44 | 0.14 | 1.8x | 54 | 53% |
| 볼린저 밴드 돌파 n=41, k=3.5 |
2.7% | -11.7% | 0.41 | 0.23 | 1.5x | 22 | 14% |
| MACD fast=22, slow=32, signal=20 |
2.8% | -29.2% | 0.32 | 0.09 | 1.5x | 138 | 45% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=29, mult=3.2 |
2.0% | -27.1% | 0.26 | 0.07 | 1.3x | 52 | 30% |
| Parabolic SAR step=0.005, maxStep=0.22 |
1.2% | -36.1% | 0.17 | 0.03 | 1.2x | 86 | 49% |
| Buy and hold | 6.0% | -36.7% | 0.49 | 0.16 | 2.4x | 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 150 days
- Sell — Sell when price breaks below the lowest low of the last 71 days