Trend-Following Backtester · Guide · backtest 한국어
etf · US
abrdn Physical Gold Shares ETF backtest
10 trend-following strategies were compared on the full daily history of abrdn Physical Gold Shares ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.5%, MDD -28.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.9%, drawdown -45.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.5%, MDD -28.2%, Sharpe 0.69, 62% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 17.3%p (CAGR 8.5%, MDD -28.2%, exposure 62%).
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=52, slow=135 |
8.5% | -28.2% | 0.69 | 0.30 | 4.0x | 28 | 62% |
| 볼린저 밴드 돌파 n=41, k=2.5 |
5.8% | -18.7% | 0.62 | 0.31 | 2.6x | 47 | 26% |
| Donchian 채널 돌파 entryN=16, exitN=88 |
7.9% | -43.4% | 0.57 | 0.18 | 3.6x | 37 | 86% |
| EMA 크로스오버 fast=48, slow=83 |
6.7% | -36.5% | 0.55 | 0.18 | 3.0x | 34 | 62% |
| Supertrend period=10, mult=4.1 |
5.8% | -28.8% | 0.53 | 0.20 | 2.6x | 93 | 53% |
| ROC 모멘텀 n=122, threshold=0 |
5.6% | -40.2% | 0.47 | 0.14 | 2.5x | 110 | 63% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=19, mult=2.6 |
4.2% | -28.1% | 0.41 | 0.15 | 2.0x | 77 | 39% |
| ADX / DI 방향성 period=32, threshold=13 |
0.7% | -42.3% | 0.12 | 0.02 | 1.1x | 113 | 36% |
| MACD fast=17, slow=45, signal=18 |
0.2% | -39.0% | 0.08 | 0.01 | 1.0x | 189 | 48% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-1.7% | -60.4% | -0.08 | -0.03 | 0.8x | 312 | 54% |
| Buy and hold | 8.9% | -45.5% | 0.60 | 0.20 | 4.3x | 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 52-day average price crosses above the 135-day average
- Sell — Sell (to cash) when the 52-day average falls below the 135-day average