Trend-Following Backtester · Guide · backtest 한국어
etf · US
abrdn Physical Precious Metals Basket Shares ETF backtest
10 trend-following strategies were compared on the full daily history of abrdn Physical Precious Metals Basket Shares ETF. 0 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 4.4%, MDD -21.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 5.8%, drawdown -55.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.0%, MDD -23.0%, Sharpe 0.48, 7% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 5.0%, MDD -32.9%, exposure 55%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.8%p lower than buy and hold, while drawdown improves by 32.7%p (CAGR 4.4%, MDD -21.5%, exposure 31%).
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=39, k=3.2 |
4.0% | -23.0% | 0.48 | 0.17 | 1.9x | 10 | 7% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=9, mult=2.4 |
4.4% | -21.5% | 0.41 | 0.21 | 2.0x | 86 | 31% |
| SMA 크로스오버 fast=40, slow=147 |
5.0% | -32.9% | 0.39 | 0.15 | 2.2x | 30 | 55% |
| Supertrend period=18, mult=4.5 |
4.6% | -36.4% | 0.39 | 0.13 | 2.0x | 82 | 45% |
| EMA 크로스오버 fast=47, slow=79 |
3.5% | -44.1% | 0.29 | 0.08 | 1.7x | 38 | 54% |
| Donchian 채널 돌파 entryN=28, exitN=20 |
2.6% | -43.0% | 0.24 | 0.06 | 1.5x | 78 | 42% |
| ROC 모멘텀 n=143, threshold=0.1 |
2.0% | -36.0% | 0.21 | 0.05 | 1.4x | 86 | 29% |
| MACD fast=23, slow=55, signal=24 |
2.1% | -38.8% | 0.21 | 0.05 | 1.4x | 126 | 49% |
| ADX / DI 방향성 period=16, threshold=30 |
1.4% | -22.6% | 0.20 | 0.06 | 1.3x | 46 | 9% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-0.8% | -53.3% | 0.02 | -0.01 | 0.9x | 256 | 50% |
| Buy and hold | 5.8% | -55.7% | 0.37 | 0.10 | 2.4x | 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 39-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 39-day middle average