Trend-Following Backtester · Guide · backtest 한국어
etf · US
Goldman Sachs Equal Weight U.S. Large Cap Equity ETF backtest
10 trend-following strategies were compared on the full daily history of Goldman Sachs Equal Weight U.S. Large Cap Equity ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.6%, MDD -23.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.5%, drawdown -38.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.1%, MDD -26.8%, Sharpe 0.71, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 11.9%p (CAGR 7.6%, MDD -23.1%, exposure 80%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 98% n=17, threshold=-0.15 |
11.1% | -26.8% | 0.71 | 0.41 | 2.6x | 5 | 98% |
| Donchian 채널 돌파 entryN=33, exitN=64 |
7.6% | -23.1% | 0.65 | 0.33 | 1.9x | 17 | 80% |
| SMA 크로스오버 fast=9, slow=163 |
5.5% | -22.9% | 0.53 | 0.24 | 1.6x | 23 | 71% |
| Supertrend period=10, mult=4.9 |
4.7% | -16.2% | 0.52 | 0.29 | 1.5x | 34 | 59% |
| EMA 크로스오버 fast=10, slow=149 |
5.2% | -28.5% | 0.50 | 0.18 | 1.6x | 23 | 71% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=17, mult=1.6 |
3.3% | -16.4% | 0.38 | 0.20 | 1.3x | 56 | 59% |
| 볼린저 밴드 돌파 n=52, k=0.9 |
2.9% | -23.0% | 0.34 | 0.13 | 1.3x | 58 | 58% |
| Parabolic SAR step=0.01, maxStep=0.12 |
3.0% | -19.7% | 0.31 | 0.15 | 1.3x | 132 | 61% |
| ADX / DI 방향성 period=16, threshold=34 |
0.6% | -8.7% | 0.25 | 0.07 | 1.1x | 8 | 5% |
| MACD fast=9, slow=34, signal=13 |
-2.1% | -31.4% | -0.13 | -0.07 | 0.8x | 176 | 51% |
| Buy and hold | 9.5% | -38.7% | 0.58 | 0.25 | 2.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 17-day return is greater than -15%
- Sell — Sell when the 17-day return drops to -15% or below