Trend-Following Backtester · Guide · backtest 한국어
etf · US
Sprott Physical Gold Trust ETV backtest
10 trend-following strategies were compared on the full daily history of Sprott Physical Gold Trust ETV. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.3%, MDD -21.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.3%, drawdown -48.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.3%, MDD -21.8%, Sharpe 0.58, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.0%p higher than buy and hold, while drawdown improves by 26.4%p (CAGR 7.3%, MDD -21.8%, exposure 60%).
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=57, slow=150 |
7.3% | -21.8% | 0.58 | 0.34 | 3.2x | 24 | 60% |
| Supertrend period=15, mult=4.8 |
6.7% | -34.6% | 0.55 | 0.19 | 2.9x | 58 | 54% |
| Donchian 채널 돌파 entryN=28, exitN=51 |
7.2% | -38.8% | 0.53 | 0.19 | 3.1x | 40 | 67% |
| 볼린저 밴드 돌파 n=35, k=3.3 |
2.4% | -11.5% | 0.53 | 0.21 | 1.5x | 10 | 6% |
| EMA 크로스오버 fast=54, slow=137 |
5.6% | -30.9% | 0.46 | 0.18 | 2.5x | 24 | 60% |
| ROC 모멘텀 n=84, threshold=-0.04 |
4.3% | -55.4% | 0.36 | 0.08 | 2.0x | 138 | 74% |
| ADX / DI 방향성 period=50, threshold=11 |
2.1% | -42.9% | 0.24 | 0.05 | 1.4x | 78 | 33% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=26, mult=2.3 |
1.4% | -37.7% | 0.18 | 0.04 | 1.3x | 82 | 38% |
| MACD fast=19, slow=62, signal=37 |
0.8% | -39.8% | 0.13 | 0.02 | 1.1x | 125 | 47% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-3.5% | -59.7% | -0.22 | -0.06 | 0.6x | 262 | 52% |
| Buy and hold | 7.3% | -48.2% | 0.48 | 0.15 | 3.2x | 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 57-day average price crosses above the 150-day average
- Sell — Sell (to cash) when the 57-day average falls below the 150-day average