Trend-Following Backtester · Guide · backtest 한국어
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VanEck Gold Miners ETF backtest
10 trend-following strategies were compared on the full daily history of VanEck Gold Miners ETF. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.8%, MDD -54.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.9%, drawdown -81.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.2%, MDD -17.6%, Sharpe 0.38, 5% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 5.8%, MDD -54.8%, exposure 56%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.7%p lower than buy and hold, while drawdown improves by 63.7%p (CAGR 5.8%, MDD -54.8%, exposure 56%).
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=3.3 |
3.2% | -17.6% | 0.38 | 0.18 | 1.9x | 8 | 5% |
| SMA 크로스오버 fast=90, slow=132 |
5.8% | -54.8% | 0.34 | 0.11 | 3.2x | 46 | 56% |
| ADX / DI 방향성 period=21, threshold=36 |
0.9% | -7.2% | 0.27 | 0.13 | 1.2x | 4 | 1% |
| Supertrend period=16, mult=4.5 |
2.2% | -76.7% | 0.22 | 0.03 | 1.6x | 83 | 47% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=10, mult=4 |
1.0% | -20.8% | 0.16 | 0.05 | 1.2x | 15 | 5% |
| Donchian 채널 돌파 entryN=24, exitN=53 |
-0.5% | -77.0% | 0.14 | -0.01 | 0.9x | 71 | 70% |
| ROC 모멘텀 n=125, threshold=0.1 |
0.1% | -57.0% | 0.12 | 0.00 | 1.0x | 196 | 36% |
| EMA 크로스오버 fast=50, slow=156 |
-0.9% | -73.6% | 0.11 | -0.01 | 0.8x | 43 | 52% |
| MACD fast=12, slow=26, signal=9 |
-4.4% | -74.8% | -0.02 | -0.06 | 0.4x | 381 | 51% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-5.6% | -88.1% | -0.07 | -0.06 | 0.3x | 367 | 50% |
| Buy and hold | 4.9% | -81.3% | 0.32 | 0.06 | 2.6x | 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 (3.3× volatility)
- Sell — Sell when the close falls back to the 46-day middle average