Trend-Following Backtester · Guide · backtest 한국어
etf · US
Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF backtest
10 trend-following strategies were compared on the full daily history of Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.3%, drawdown -33.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.2%, MDD -19.9%, Sharpe 0.84, 77% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=6, slow=174 |
9.2% | -19.9% | 0.84 | 0.46 | 2.6x | 21 | 77% |
| EMA 크로스오버 fast=6, slow=111 |
8.6% | -20.8% | 0.80 | 0.41 | 2.5x | 35 | 78% |
| Donchian 채널 돌파 entryN=94, exitN=62 |
7.5% | -13.7% | 0.76 | 0.55 | 2.2x | 15 | 69% |
| Keltner 채널 돌파 emaPeriod=119, atrPeriod=15, mult=1.7 |
6.5% | -21.5% | 0.67 | 0.30 | 2.0x | 39 | 72% |
| Supertrend period=15, mult=5 |
5.8% | -23.6% | 0.65 | 0.25 | 1.8x | 39 | 63% |
| ROC 모멘텀 n=98, threshold=-0.03 |
7.5% | -24.2% | 0.65 | 0.31 | 2.2x | 39 | 82% |
| Parabolic SAR step=0.02, maxStep=0.06 |
5.4% | -21.7% | 0.55 | 0.25 | 1.8x | 140 | 68% |
| 볼린저 밴드 돌파 n=27, k=1 |
3.4% | -14.7% | 0.42 | 0.23 | 1.4x | 112 | 57% |
| MACD fast=19, slow=59, signal=12 |
1.7% | -30.2% | 0.23 | 0.06 | 1.2x | 134 | 53% |
| ADX / DI 방향성 period=21, threshold=30 |
0.1% | -11.3% | 0.07 | 0.01 | 1.0x | 6 | 4% |
| Buy and hold | 12.3% | -33.7% | 0.75 | 0.37 | 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 6-day average price crosses above the 174-day average
- Sell — Sell (to cash) when the 6-day average falls below the 174-day average