Trend-Following Backtester · Guide · backtest 한국어
etf · US
VanEck Merk Gold ETF backtest
10 trend-following strategies were compared on the full daily history of VanEck Merk Gold ETF. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.8%, MDD -19.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.4%, drawdown -26.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.8%, MDD -19.1%, Sharpe 0.77, 64% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 7.2%p (CAGR 9.8%, MDD -19.1%, exposure 64%).
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=56, slow=144 |
9.8% | -19.1% | 0.77 | 0.51 | 3.1x | 18 | 64% |
| 볼린저 밴드 돌파 n=34, k=3.4 |
3.3% | -10.6% | 0.64 | 0.32 | 1.5x | 10 | 9% |
| EMA 크로스오버 fast=25, slow=51 |
7.7% | -25.7% | 0.62 | 0.30 | 2.5x | 40 | 60% |
| Supertrend period=23, mult=5 |
6.7% | -22.4% | 0.61 | 0.30 | 2.2x | 50 | 53% |
| Donchian 채널 돌파 entryN=44, exitN=43 |
7.2% | -24.8% | 0.61 | 0.29 | 2.3x | 30 | 59% |
| ROC 모멘텀 n=114, threshold=-0.04 |
7.3% | -29.2% | 0.56 | 0.25 | 2.4x | 62 | 76% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=27, mult=2.6 |
5.9% | -18.2% | 0.55 | 0.32 | 2.0x | 54 | 40% |
| MACD fast=23, slow=61, signal=22 |
4.6% | -24.2% | 0.44 | 0.19 | 1.7x | 87 | 47% |
| ADX / DI 방향성 period=39, threshold=11 |
1.5% | -38.5% | 0.19 | 0.04 | 1.2x | 100 | 45% |
| Parabolic SAR step=0.015, maxStep=0.24 |
-1.4% | -38.1% | -0.06 | -0.04 | 0.8x | 192 | 53% |
| Buy and hold | 9.4% | -26.3% | 0.64 | 0.36 | 3.0x | 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 56-day average price crosses above the 144-day average
- Sell — Sell (to cash) when the 56-day average falls below the 144-day average