Trend-Following Backtester · Guide · backtest 한국어
etf · US
Goldman Sachs ActiveBeta Emerging Markets Equity ETF backtest
10 trend-following strategies were compared on the full daily history of Goldman Sachs ActiveBeta Emerging Markets Equity ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.7%, MDD -24.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.0%, drawdown -40.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.6%, MDD -25.7%, Sharpe 0.53, 61% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.7%, MDD -24.9%, exposure 69%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 14.5%p (CAGR 6.7%, MDD -24.9%, exposure 69%).
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=25, slow=126 |
6.6% | -25.7% | 0.53 | 0.26 | 2.0x | 21 | 61% |
| Donchian 채널 돌파 entryN=39, exitN=76 |
6.7% | -24.9% | 0.52 | 0.27 | 2.0x | 19 | 69% |
| EMA 크로스오버 fast=38, slow=89 |
5.8% | -29.4% | 0.48 | 0.20 | 1.9x | 19 | 63% |
| ROC 모멘텀 n=147, threshold=0.04 |
3.3% | -26.6% | 0.33 | 0.12 | 1.4x | 75 | 48% |
| ADX / DI 방향성 period=48, threshold=21 |
0.6% | -7.9% | 0.22 | 0.07 | 1.1x | 2 | 2% |
| 볼린저 밴드 돌파 n=35, k=3.1 |
0.7% | -8.3% | 0.17 | 0.08 | 1.1x | 10 | 8% |
| Supertrend period=16, mult=4.8 |
0.8% | -38.1% | 0.13 | 0.02 | 1.1x | 50 | 54% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=28, mult=3.1 |
0.5% | -25.0% | 0.10 | 0.02 | 1.1x | 46 | 34% |
| Parabolic SAR step=0.045, maxStep=0.08 |
-3.5% | -52.2% | -0.20 | -0.07 | 0.7x | 211 | 58% |
| MACD fast=16, slow=55, signal=16 |
-4.0% | -52.9% | -0.28 | -0.08 | 0.6x | 135 | 50% |
| Buy and hold | 7.0% | -40.2% | 0.44 | 0.17 | 2.1x | 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 25-day average price crosses above the 126-day average
- Sell — Sell (to cash) when the 25-day average falls below the 126-day average