Trend-Following Backtester · Guide · backtest 한국어
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Yuanta S&P GSCI Gold 2x Leveraged Index ER Futures ETF backtest
10 trend-following strategies were compared on the full daily history of Yuanta S&P GSCI Gold 2x Leveraged Index ER Futures ETF. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 15.8%, MDD -35.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 15.1%, drawdown -53.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.5%, MDD -41.0%, Sharpe 0.78, 60% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 20.2%, MDD -41.0%, exposure 76%.
Return/drawdown alternative: MACD — CAGR is 4.4%p higher than buy and hold, while drawdown improves by 12.1%p (CAGR 15.8%, MDD -35.4%, exposure 48%).
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=45, slow=159 |
19.5% | -41.0% | 0.78 | 0.48 | 5.1x | 12 | 60% |
| ROC 모멘텀 n=78, threshold=-0.08 |
20.2% | -41.0% | 0.78 | 0.49 | 5.3x | 54 | 76% |
| MACD fast=20, slow=58, signal=23 |
15.8% | -35.4% | 0.73 | 0.45 | 3.8x | 58 | 48% |
| EMA 크로스오버 fast=34, slow=63 |
17.3% | -41.0% | 0.72 | 0.42 | 4.3x | 20 | 59% |
| Donchian 채널 돌파 entryN=109, exitN=76 |
14.0% | -42.2% | 0.63 | 0.33 | 3.3x | 10 | 56% |
| 볼린저 밴드 돌파 n=43, k=2.3 |
11.9% | -30.1% | 0.62 | 0.39 | 2.8x | 32 | 32% |
| Parabolic SAR step=0.005, maxStep=0.24 |
11.7% | -41.5% | 0.60 | 0.28 | 2.7x | 62 | 47% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=14, mult=3.7 |
9.6% | -40.8% | 0.54 | 0.23 | 2.3x | 36 | 30% |
| Supertrend period=27, mult=3.8 |
9.6% | -40.4% | 0.52 | 0.24 | 2.3x | 80 | 50% |
| ADX / DI 방향성 period=31, threshold=3 |
9.5% | -49.2% | 0.48 | 0.19 | 2.3x | 122 | 55% |
| Buy and hold | 15.1% | -53.0% | 0.60 | 0.28 | 3.6x | 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 45-day average price crosses above the 159-day average
- Sell — Sell (to cash) when the 45-day average falls below the 159-day average