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. 6 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
6 of 10 beat buy and hold (CAGR 1.3%, drawdown -90.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.5%, MDD -49.3%, Sharpe 0.41, 37% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.2%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 |
7.5% | -49.3% | 0.41 | 0.15 | 3.4x | 85 | 37% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=24, mult=2.3 |
5.8% | -43.0% | 0.35 | 0.13 | 2.6x | 69 | 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 |
1.7% | -74.2% | 0.21 | 0.02 | 1.3x | 33 | 43% |
| SMA 크로스오버 fast=23, slow=197 |
1.3% | -69.2% | 0.20 | 0.02 | 1.2x | 42 | 43% |
| Supertrend period=13, mult=5 |
1.3% | -69.0% | 0.19 | 0.02 | 1.2x | 59 | 44% |
| Parabolic SAR step=0.025, maxStep=0.32 |
-3.3% | -82.2% | 0.05 | -0.04 | 0.6x | 416 | 50% |
| MACD fast=7, slow=57, signal=21 |
-3.8% | -68.9% | 0.03 | -0.05 | 0.5x | 249 | 50% |
| Buy and hold | 1.3% | -90.3% | 0.26 | 0.01 | 1.3x | 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