Trend-Following Backtester · Guide · backtest 한국어
etf · US
ETRACS Gold Shares Covered Call ETNs due February 2, 2033 backtest
10 trend-following strategies were compared on the full daily history of ETRACS Gold Shares Covered Call ETNs due February 2, 2033. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.1%, MDD -2.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -7.5%, drawdown -67.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.4%, MDD -4.2%, Sharpe 0.27, 2% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 1.8%, MDD -15.1%, exposure 31%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 7.9%p higher than buy and hold, while drawdown improves by 63.3%p (CAGR 0.1%, MDD -2.5%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=55, threshold=33 |
0.4% | -4.2% | 0.27 | 0.09 | 1.1x | 2 | 2% |
| SMA 크로스오버 fast=40, slow=272 |
1.8% | -15.1% | 0.27 | 0.12 | 1.3x | 4 | 31% |
| EMA 크로스오버 fast=58, slow=166 |
1.5% | -15.1% | 0.24 | 0.10 | 1.2x | 4 | 31% |
| ROC 모멘텀 n=37, threshold=0.13 |
0.1% | -2.5% | 0.14 | 0.06 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=100, exitN=77 |
-0.3% | -22.1% | -0.02 | -0.01 | 1.0x | 10 | 27% |
| 볼린저 밴드 돌파 n=42, k=3.2 |
-0.0% | -4.3% | -0.04 | -0.01 | 1.0x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=20, mult=3.6 |
-0.4% | -10.1% | -0.22 | -0.04 | 0.9x | 8 | 3% |
| Supertrend period=24, mult=4.2 |
-6.2% | -58.6% | -0.80 | -0.11 | 0.4x | 62 | 42% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-8.3% | -68.7% | -1.11 | -0.12 | 0.3x | 116 | 45% |
| MACD fast=18, slow=40, signal=14 |
-11.2% | -79.9% | -1.41 | -0.14 | 0.2x | 179 | 51% |
| Buy and hold | -7.5% | -67.5% | -0.54 | -0.11 | 0.4x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 55-day) is ≥ 33
- Sell — Sell when direction flips or the trend weakens (ADX < 33)