Trend-Following Backtester · Guide · backtest 한국어
etf · US
Goldman Sachs ActiveBeta International Equity ETF backtest
10 trend-following strategies were compared on the full daily history of Goldman Sachs ActiveBeta International Equity ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 5.8%, MDD -21.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.1%, drawdown -37.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.4%, MDD -23.4%, Sharpe 0.52, 67% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 5.8%, MDD -21.0%, exposure 83%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 13.8%p (CAGR 5.8%, MDD -21.0%, exposure 83%).
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=27, slow=174 |
5.4% | -23.4% | 0.52 | 0.23 | 1.7x | 15 | 67% |
| ROC 모멘텀 n=96, threshold=-0.06 |
5.8% | -21.0% | 0.51 | 0.28 | 1.8x | 29 | 83% |
| EMA 크로스오버 fast=34, slow=159 |
5.1% | -23.0% | 0.50 | 0.22 | 1.7x | 21 | 70% |
| Donchian 채널 돌파 entryN=31, exitN=77 |
4.3% | -21.8% | 0.41 | 0.20 | 1.6x | 23 | 76% |
| 볼린저 밴드 돌파 n=13, k=3.1 |
0.3% | -1.8% | 0.34 | 0.17 | 1.0x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=24, mult=3.9 |
1.4% | -15.1% | 0.23 | 0.09 | 1.2x | 28 | 32% |
| ADX / DI 방향성 period=37, threshold=13 |
0.8% | -13.7% | 0.15 | 0.06 | 1.1x | 44 | 28% |
| Supertrend period=11, mult=4.9 |
0.5% | -29.6% | 0.10 | 0.02 | 1.1x | 45 | 59% |
| Parabolic SAR step=0.02, maxStep=0.14 |
-4.7% | -42.3% | -0.39 | -0.11 | 0.6x | 229 | 58% |
| MACD fast=12, slow=58, signal=15 |
-4.7% | -45.2% | -0.44 | -0.10 | 0.6x | 163 | 50% |
| Buy and hold | 6.1% | -37.2% | 0.44 | 0.16 | 1.9x | 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 27-day average price crosses above the 174-day average
- Sell — Sell (to cash) when the 27-day average falls below the 174-day average