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. 9 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 -0.0%, MDD -3.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR -6.4%, drawdown -93.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.4%, MDD -9.9%, Sharpe 0.13, 1% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.8%p higher than buy and hold, while drawdown improves by 83.4%p (CAGR -0.0%, MDD -3.3%, 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=21, k=3.5 |
0.4% | -9.9% | 0.13 | 0.04 | 1.1x | 4 | 1% |
| SMA 크로스오버 fast=36, slow=203 |
-0.2% | -50.1% | 0.07 | -0.00 | 1.0x | 32 | 45% |
| EMA 크로스오버 fast=39, slow=145 |
-0.8% | -43.2% | 0.02 | -0.02 | 0.8x | 32 | 43% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=17, mult=2.8 |
-0.0% | -15.4% | 0.02 | -0.00 | 1.0x | 18 | 3% |
| ADX / DI 방향성 period=38, threshold=24 |
-0.0% | -3.3% | -0.00 | -0.00 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=102, exitN=65 |
-1.1% | -49.6% | -0.03 | -0.02 | 0.8x | 22 | 36% |
| ROC 모멘텀 n=192, threshold=-0.04 |
-2.9% | -70.0% | -0.11 | -0.04 | 0.5x | 105 | 54% |
| Supertrend period=19, mult=5 |
-3.6% | -69.0% | -0.14 | -0.05 | 0.5x | 66 | 51% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-5.9% | -78.3% | -0.23 | -0.08 | 0.3x | 337 | 52% |
| MACD fast=12, slow=35, signal=16 |
-6.6% | -79.1% | -0.24 | -0.08 | 0.2x | 303 | 51% |
| Buy and hold | -6.4% | -93.3% | -0.08 | -0.07 | 0.2x | 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 21-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 21-day middle average