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; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 5.1%, MDD -34.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 5.7%, drawdown -55.7%).
Sharpe leader (same as main): Supertrend — CAGR 5.1%, MDD -34.1%, Sharpe 0.42, 46% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 21.6%p (CAGR 5.1%, MDD -34.1%, exposure 46%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=9, mult=4.7 |
5.1% | -34.1% | 0.42 | 0.15 | 2.2x | 76 | 46% |
| 볼린저 밴드 돌파 n=45, k=1.4 |
4.3% | -27.9% | 0.38 | 0.15 | 1.9x | 84 | 36% |
| SMA 크로스오버 fast=39, slow=150 |
4.8% | -34.9% | 0.37 | 0.14 | 2.1x | 30 | 55% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=8, mult=2.4 |
3.2% | -34.1% | 0.30 | 0.10 | 1.7x | 78 | 36% |
| EMA 크로스오버 fast=43, slow=66 |
2.8% | -54.0% | 0.25 | 0.05 | 1.5x | 44 | 55% |
| ROC 모멘텀 n=185, threshold=0.08 |
2.2% | -37.5% | 0.22 | 0.06 | 1.4x | 66 | 35% |
| Donchian 채널 돌파 entryN=39, exitN=22 |
2.2% | -39.2% | 0.22 | 0.06 | 1.4x | 66 | 40% |
| ADX / DI 방향성 period=14, threshold=30 |
1.5% | -25.2% | 0.20 | 0.06 | 1.3x | 58 | 12% |
| MACD fast=19, slow=49, signal=17 |
0.1% | -41.1% | 0.09 | 0.00 | 1.0x | 161 | 50% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-1.0% | -53.3% | 0.00 | -0.02 | 0.9x | 254 | 50% |
| Buy and hold | 5.7% | -55.7% | 0.37 | 0.10 | 2.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 9-day volatility, 4.7× band
- Sell — Sell when price drops below the trend line (flips down)