Trend-Following Backtester · Guide · backtest 한국어
etf · US
Goldman Sachs Access Treasury 0-1 Year ETF backtest
10 trend-following strategies were compared on the full daily history of Goldman Sachs Access Treasury 0-1 Year ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR -0.0%, drawdown -1.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.0%, MDD 0.0%, Sharpe 0.00, 0% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 n=19, threshold=0.08 |
0.0% | 0.0% | 0.00 | 0.00 | 1.0x | 0 | 0% |
| ADX / DI 방향성 period=100, threshold=22 |
-0.1% | -0.6% | -0.17 | -0.10 | 1.0x | 2 | 15% |
| 볼린저 밴드 돌파 n=22, k=3.1 |
-0.2% | -2.1% | -0.40 | -0.10 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=3, atrPeriod=17, mult=3.5 |
-0.2% | -2.1% | -0.40 | -0.10 | 1.0x | 2 | 0% |
| SMA 크로스오버 fast=65, slow=213 |
-0.5% | -4.8% | -0.51 | -0.10 | 1.0x | 10 | 52% |
| EMA 크로스오버 fast=104, slow=245 |
-0.9% | -8.3% | -0.78 | -0.11 | 0.9x | 15 | 58% |
| Donchian 채널 돌파 entryN=105, exitN=73 |
-1.4% | -13.1% | -1.23 | -0.11 | 0.9x | 22 | 37% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-4.7% | -37.6% | -2.89 | -0.12 | 0.6x | 79 | 26% |
| Supertrend period=7, mult=5 |
-5.6% | -43.2% | -3.30 | -0.13 | 0.6x | 89 | 21% |
| MACD fast=47, slow=66, signal=31 |
-7.8% | -55.4% | -4.03 | -0.14 | 0.4x | 141 | 45% |
| Buy and hold | -0.0% | -1.2% | -0.03 | -0.03 | 1.0x | 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 19-day return is greater than 8%
- Sell — Sell when the 19-day return drops to 8% or below