Trend-Following Backtester · Guide · backtest 한국어
etf · US
SPDR Gold MiniShares Trust backtest
10 trend-following strategies were compared on the full daily history of SPDR Gold MiniShares Trust. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 15.6%, MDD -19.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.5%, drawdown -26.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.6%, MDD -19.1%, Sharpe 1.05, 66% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 7.1%p (CAGR 15.6%, MDD -19.1%, exposure 66%).
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=34, slow=93 |
15.6% | -19.1% | 1.05 | 0.81 | 3.3x | 14 | 66% |
| Donchian 채널 돌파 entryN=44, exitN=41 |
13.9% | -18.7% | 0.99 | 0.74 | 2.9x | 17 | 64% |
| ROC 모멘텀 n=77, threshold=-0.03 |
15.0% | -21.3% | 0.97 | 0.70 | 3.1x | 48 | 80% |
| EMA 크로스오버 fast=34, slow=52 |
14.2% | -21.9% | 0.96 | 0.65 | 3.0x | 19 | 68% |
| Supertrend period=9, mult=5 |
11.1% | -27.2% | 0.88 | 0.41 | 2.4x | 31 | 57% |
| 볼린저 밴드 돌파 n=47, k=2.3 |
10.5% | -13.8% | 0.88 | 0.76 | 2.3x | 27 | 39% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=22, mult=2.4 |
9.8% | -17.2% | 0.78 | 0.57 | 2.2x | 37 | 47% |
| ADX / DI 방향성 period=33, threshold=11 |
7.4% | -26.8% | 0.58 | 0.28 | 1.8x | 67 | 58% |
| MACD fast=19, slow=38, signal=19 |
4.4% | -27.5% | 0.39 | 0.16 | 1.4x | 85 | 49% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-0.3% | -29.0% | 0.04 | -0.01 | 1.0x | 128 | 54% |
| Buy and hold | 16.5% | -26.3% | 0.97 | 0.63 | 3.5x | 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 34-day average price crosses above the 93-day average
- Sell — Sell (to cash) when the 34-day average falls below the 93-day average