Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI Global Gold Miners ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Global Gold Miners ETF. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.2%, MDD -29.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR 1.5%, drawdown -80.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.0%, MDD -42.0%, Sharpe 0.45, 36% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.3%, MDD -40.8%, exposure 47%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.4%p higher than buy and hold, while drawdown improves by 38.2%p (CAGR 5.2%, MDD -29.2%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=61, k=1.4 |
8.0% | -42.0% | 0.45 | 0.19 | 3.0x | 52 | 36% |
| SMA 크로스오버 fast=10, slow=48 |
8.3% | -40.8% | 0.44 | 0.20 | 3.2x | 82 | 47% |
| Supertrend period=13, mult=4.9 |
7.3% | -53.3% | 0.40 | 0.14 | 2.8x | 50 | 46% |
| ADX / DI 방향성 period=45, threshold=16 |
5.2% | -29.2% | 0.40 | 0.18 | 2.1x | 28 | 13% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=11, mult=1.8 |
6.5% | -33.7% | 0.39 | 0.19 | 2.5x | 80 | 37% |
| ROC 모멘텀 n=123, threshold=0.11 |
6.4% | -37.1% | 0.39 | 0.17 | 2.4x | 100 | 33% |
| Donchian 채널 돌파 entryN=74, exitN=30 |
5.7% | -36.7% | 0.36 | 0.16 | 2.2x | 34 | 34% |
| EMA 크로스오버 fast=59, slow=173 |
2.9% | -60.8% | 0.24 | 0.05 | 1.5x | 22 | 44% |
| Parabolic SAR step=0.03, maxStep=0.06 |
-1.0% | -59.4% | 0.09 | -0.02 | 0.9x | 219 | 50% |
| MACD fast=13, slow=52, signal=16 |
-3.4% | -57.1% | 0.00 | -0.06 | 0.6x | 185 | 49% |
| Buy and hold | 1.5% | -80.2% | 0.23 | 0.02 | 1.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 61-day average (1.4× volatility)
- Sell — Sell when the close falls back to the 61-day middle average