Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares GSCI Commodity-Indexed Trust Fund backtest
10 trend-following strategies were compared on the full daily history of iShares GSCI Commodity-Indexed Trust Fund. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.1%, MDD -21.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.1%, drawdown -89.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.9%, MDD -41.6%, Sharpe 0.38, 56% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.0%p higher than buy and hold, while drawdown improves by 48.0%p (CAGR 1.1%, MDD -21.2%, exposure 6%).
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=33, slow=84 |
4.9% | -41.6% | 0.38 | 0.12 | 2.6x | 50 | 56% |
| EMA 크로스오버 fast=39, slow=69 |
3.9% | -52.8% | 0.32 | 0.07 | 2.1x | 47 | 52% |
| ROC 모멘텀 n=159, threshold=0.18 |
3.0% | -38.2% | 0.32 | 0.08 | 1.8x | 53 | 19% |
| Donchian 채널 돌파 entryN=76, exitN=21 |
3.1% | -35.7% | 0.31 | 0.09 | 1.8x | 60 | 31% |
| 볼린저 밴드 돌파 n=68, k=2.3 |
3.0% | -32.2% | 0.31 | 0.09 | 1.8x | 46 | 27% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=18, mult=3.8 |
1.6% | -47.7% | 0.19 | 0.03 | 1.4x | 55 | 24% |
| Supertrend period=36, mult=5 |
1.7% | -57.2% | 0.19 | 0.03 | 1.4x | 69 | 56% |
| ADX / DI 방향성 period=28, threshold=22 |
1.1% | -21.2% | 0.18 | 0.05 | 1.2x | 32 | 6% |
| MACD fast=24, slow=41, signal=31 |
-0.3% | -59.6% | 0.06 | -0.01 | 0.9x | 153 | 54% |
| Parabolic SAR step=0.015, maxStep=0.2 |
-3.7% | -66.0% | -0.16 | -0.06 | 0.5x | 362 | 53% |
| Buy and hold | -2.1% | -89.6% | 0.03 | -0.02 | 0.6x | 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 33-day average price crosses above the 84-day average
- Sell — Sell (to cash) when the 33-day average falls below the 84-day average