Trend-Following Backtester · Guide · backtest 한국어
etf · US
GAMCO Global Gold, Natural Resources & Income Trust backtest
10 trend-following strategies were compared on the full daily history of GAMCO Global Gold, Natural Resources & Income Trust. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.0%, MDD -2.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.0%, drawdown -93.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.6%, MDD -8.8%, Sharpe 0.15, 1% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.6%p higher than buy and hold, while drawdown improves by 84.5%p (CAGR 0.0%, MDD -2.2%, exposure 0%).
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=13, k=3 |
0.6% | -8.8% | 0.15 | 0.06 | 1.1x | 10 | 1% |
| ROC 모멘텀 n=14, threshold=0.22 |
0.4% | -18.0% | 0.12 | 0.02 | 1.1x | 22 | 0% |
| Keltner 채널 돌파 emaPeriod=6, atrPeriod=47, mult=3.5 |
0.0% | -2.2% | 0.07 | 0.02 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=9, exitN=66 |
-1.9% | -70.0% | 0.04 | -0.03 | 0.7x | 69 | 86% |
| SMA 크로스오버 fast=36, slow=201 |
-0.9% | -53.7% | 0.02 | -0.02 | 0.8x | 37 | 45% |
| EMA 크로스오버 fast=57, slow=149 |
-1.0% | -50.1% | 0.01 | -0.02 | 0.8x | 29 | 44% |
| ADX / DI 방향성 period=24, threshold=39 |
-0.0% | -2.2% | -0.08 | -0.02 | 1.0x | 2 | 0% |
| Supertrend period=19, mult=5 |
-3.5% | -69.0% | -0.14 | -0.05 | 0.5x | 67 | 52% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-5.4% | -78.3% | -0.20 | -0.07 | 0.3x | 338 | 52% |
| MACD fast=12, slow=35, signal=16 |
-6.0% | -79.1% | -0.21 | -0.08 | 0.3x | 304 | 51% |
| Buy and hold | -6.0% | -93.3% | -0.06 | -0.06 | 0.3x | 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 13-day average (3× volatility)
- Sell — Sell when the close falls back to the 13-day middle average