Trend-Following Backtester · Guide · backtest 한국어
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VanEck Junior Gold Miners ETF backtest
10 trend-following strategies were compared on the full daily history of VanEck Junior Gold Miners ETF. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.7%, MDD -31.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.4%, drawdown -90.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.1%, MDD -49.3%, Sharpe 0.39, 37% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 41.0%p (CAGR 3.7%, MDD -31.0%, exposure 11%).
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=53, k=1.2 |
7.1% | -49.3% | 0.39 | 0.14 | 3.1x | 84 | 37% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=24, mult=2.3 |
5.3% | -43.0% | 0.34 | 0.12 | 2.4x | 68 | 31% |
| ADX / DI 방향성 period=39, threshold=17 |
3.7% | -31.0% | 0.31 | 0.12 | 1.8x | 36 | 11% |
| Donchian 채널 돌파 entryN=110, exitN=42 |
3.5% | -57.2% | 0.27 | 0.06 | 1.8x | 26 | 26% |
| ROC 모멘텀 n=130, threshold=0.03 |
2.9% | -64.3% | 0.24 | 0.05 | 1.6x | 166 | 42% |
| EMA 크로스오버 fast=56, slow=130 |
2.0% | -74.2% | 0.22 | 0.03 | 1.4x | 32 | 43% |
| SMA 크로스오버 fast=23, slow=197 |
1.3% | -69.2% | 0.20 | 0.02 | 1.2x | 42 | 43% |
| Supertrend period=13, mult=5 |
0.8% | -69.0% | 0.17 | 0.01 | 1.2x | 58 | 44% |
| Parabolic SAR step=0.025, maxStep=0.32 |
-5.0% | -82.2% | -0.01 | -0.06 | 0.4x | 415 | 50% |
| MACD fast=7, slow=57, signal=21 |
-5.5% | -68.9% | -0.03 | -0.08 | 0.4x | 249 | 50% |
| Buy and hold | -0.4% | -90.3% | 0.22 | -0.00 | 0.9x | 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 53-day average (1.2× volatility)
- Sell — Sell when the close falls back to the 53-day middle average