Trend-Following Backtester · Guide · backtest 한국어
etf · US
GraniteShares Gold Trust Shares of Beneficial Interest backtest
10 trend-following strategies were compared on the full daily history of GraniteShares Gold Trust Shares of Beneficial Interest. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.5%, MDD -19.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 13.1%, drawdown -26.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.5%, MDD -19.8%, Sharpe 0.94, 68% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 6.5%p (CAGR 13.5%, MDD -19.8%, exposure 68%).
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=32, slow=144 |
13.5% | -19.8% | 0.94 | 0.68 | 3.1x | 18 | 68% |
| EMA 크로스오버 fast=31, slow=109 |
12.8% | -24.0% | 0.89 | 0.53 | 2.9x | 16 | 69% |
| 볼린저 밴드 돌파 n=45, k=2.4 |
10.2% | -13.8% | 0.89 | 0.74 | 2.4x | 28 | 37% |
| Donchian 채널 돌파 entryN=51, exitN=41 |
11.8% | -19.2% | 0.88 | 0.61 | 2.7x | 18 | 62% |
| ROC 모멘텀 n=76, threshold=-0.04 |
13.1% | -25.7% | 0.88 | 0.51 | 3.0x | 54 | 81% |
| Supertrend period=24, mult=5 |
10.1% | -23.1% | 0.86 | 0.44 | 2.4x | 34 | 52% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=12, mult=2.8 |
9.2% | -21.2% | 0.76 | 0.44 | 2.2x | 34 | 49% |
| MACD fast=23, slow=53, signal=24 |
8.4% | -23.9% | 0.71 | 0.35 | 2.1x | 55 | 47% |
| ADX / DI 방향성 period=39, threshold=10 |
5.6% | -30.2% | 0.47 | 0.18 | 1.6x | 76 | 56% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-1.9% | -33.5% | -0.09 | -0.06 | 0.8x | 144 | 53% |
| Buy and hold | 13.1% | -26.3% | 0.83 | 0.50 | 3.0x | 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 32-day average price crosses above the 144-day average
- Sell — Sell (to cash) when the 32-day average falls below the 144-day average