Trend-Following Backtester · Guide · backtest 한국어
etf · US
SPDR Gold Shares backtest
10 trend-following strategies were compared on the full daily history of SPDR Gold Shares. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.0%, MDD -30.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.3%, drawdown -45.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.0%, MDD -30.8%, Sharpe 0.73, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 14.8%p (CAGR 10.0%, MDD -30.8%, exposure 65%).
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=49, slow=132 |
10.0% | -30.8% | 0.73 | 0.33 | 8.0x | 36 | 65% |
| EMA 크로스오버 fast=58, slow=146 |
9.2% | -27.8% | 0.66 | 0.33 | 6.8x | 24 | 68% |
| Donchian 채널 돌파 entryN=115, exitN=100 |
8.8% | -36.8% | 0.66 | 0.24 | 6.3x | 20 | 64% |
| 볼린저 밴드 돌파 n=39, k=3.1 |
3.9% | -16.6% | 0.56 | 0.24 | 2.3x | 22 | 11% |
| ROC 모멘텀 n=89, threshold=-0.01 |
6.2% | -45.4% | 0.48 | 0.14 | 3.7x | 182 | 68% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=28, mult=2.7 |
4.0% | -29.0% | 0.38 | 0.14 | 2.3x | 102 | 39% |
| Supertrend period=12, mult=4.1 |
4.1% | -33.6% | 0.37 | 0.12 | 2.4x | 118 | 54% |
| ADX / DI 방향성 period=36, threshold=16 |
2.6% | -38.1% | 0.30 | 0.07 | 1.7x | 66 | 24% |
| MACD fast=18, slow=59, signal=24 |
2.2% | -43.0% | 0.23 | 0.05 | 1.6x | 193 | 49% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-0.7% | -61.2% | 0.01 | -0.01 | 0.9x | 344 | 53% |
| Buy and hold | 10.3% | -45.6% | 0.63 | 0.23 | 8.3x | 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 49-day average price crosses above the 132-day average
- Sell — Sell (to cash) when the 49-day average falls below the 132-day average