Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares Gold Trust Shares backtest
10 trend-following strategies were compared on the full daily history of iShares Gold Trust Shares. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.3%, MDD -30.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.1%, drawdown -45.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.3%, MDD -30.6%, Sharpe 0.75, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 14.6%p (CAGR 10.3%, MDD -30.6%, exposure 65%).
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=55, slow=132 |
10.3% | -30.6% | 0.75 | 0.34 | 8.3x | 34 | 65% |
| Donchian 채널 돌파 entryN=113, exitN=79 |
9.1% | -34.5% | 0.68 | 0.26 | 6.5x | 24 | 61% |
| EMA 크로스오버 fast=34, slow=203 |
8.8% | -30.5% | 0.63 | 0.29 | 6.2x | 25 | 68% |
| 볼린저 밴드 돌파 n=41, k=3 |
4.3% | -25.4% | 0.55 | 0.17 | 2.5x | 28 | 14% |
| ROC 모멘텀 n=113, threshold=-0.04 |
6.7% | -58.1% | 0.49 | 0.12 | 4.0x | 134 | 77% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=18, mult=2.4 |
4.9% | -27.2% | 0.45 | 0.18 | 2.8x | 109 | 42% |
| Supertrend period=22, mult=5 |
4.4% | -36.3% | 0.40 | 0.12 | 2.6x | 87 | 50% |
| MACD fast=35, slow=72, signal=23 |
3.8% | -38.3% | 0.35 | 0.10 | 2.3x | 141 | 48% |
| ADX / DI 방향성 period=45, threshold=12 |
2.5% | -42.8% | 0.27 | 0.06 | 1.7x | 110 | 33% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-0.8% | -63.6% | 0.00 | -0.01 | 0.8x | 398 | 54% |
| Buy and hold | 11.1% | -45.1% | 0.67 | 0.25 | 9.8x | 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 55-day average price crosses above the 132-day average
- Sell — Sell (to cash) when the 55-day average falls below the 132-day average