Trend-Following Backtester · Guide · backtest 한국어
etf · US
FT Vest Gold Strategy Target Income ETF backtest
10 trend-following strategies were compared on the full daily history of FT Vest Gold Strategy Target Income ETF. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.4%, MDD -13.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 1.8%, drawdown -31.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.6%, MDD -8.1%, Sharpe 0.43, 5% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.6%, MDD -19.9%, exposure 54%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 23.4%p (CAGR 2.4%, MDD -13.5%, exposure 38%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=46, k=3.5 |
1.6% | -8.1% | 0.43 | 0.19 | 1.1x | 2 | 5% |
| EMA 크로스오버 fast=19, slow=26 |
3.4% | -17.6% | 0.33 | 0.19 | 1.2x | 29 | 55% |
| SMA 크로스오버 fast=34, slow=123 |
3.6% | -19.9% | 0.33 | 0.18 | 1.2x | 10 | 54% |
| Donchian 채널 돌파 entryN=42, exitN=58 |
3.0% | -19.9% | 0.29 | 0.15 | 1.2x | 9 | 59% |
| Keltner 채널 돌파 emaPeriod=92, atrPeriod=9, mult=2.6 |
2.4% | -13.5% | 0.28 | 0.18 | 1.1x | 16 | 38% |
| Supertrend period=23, mult=4.7 |
1.8% | -15.8% | 0.23 | 0.12 | 1.1x | 21 | 50% |
| ROC 모멘텀 n=34, threshold=-0.07 |
1.0% | -26.7% | 0.14 | 0.04 | 1.1x | 19 | 89% |
| MACD fast=30, slow=67, signal=17 |
-0.4% | -20.7% | 0.03 | -0.02 | 1.0x | 41 | 47% |
| ADX / DI 방향성 period=39, threshold=14 |
-1.5% | -26.1% | -0.07 | -0.06 | 0.9x | 24 | 35% |
| Parabolic SAR step=0.03, maxStep=0.22 |
-6.2% | -36.4% | -0.49 | -0.17 | 0.7x | 130 | 52% |
| Buy and hold | 1.8% | -31.5% | 0.19 | 0.06 | 1.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 46-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 46-day middle average