Trend-Following Backtester · Guide · backtest 한국어
etf · US
ASA Gold and Precious Metals Limited backtest
10 trend-following strategies were compared on the full daily history of ASA Gold and Precious Metals Limited. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.0%, MDD -42.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.0%, drawdown -85.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.0%, MDD -42.6%, Sharpe 0.38, 17% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 5.6%, MDD -64.6%, exposure 49%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 42.5%p (CAGR 5.0%, MDD -42.6%, exposure 17%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=117, exitN=13 |
5.0% | -42.6% | 0.38 | 0.12 | 10.7x | 122 | 17% |
| 볼린저 밴드 돌파 n=57, k=3.1 |
4.3% | -55.1% | 0.35 | 0.08 | 7.7x | 62 | 13% |
| SMA 크로스오버 fast=59, slow=223 |
5.6% | -64.6% | 0.34 | 0.09 | 14.3x | 52 | 49% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=18, mult=3.5 |
4.0% | -61.1% | 0.30 | 0.06 | 6.6x | 142 | 25% |
| Parabolic SAR step=0.005, maxStep=0.38 |
4.3% | -83.3% | 0.29 | 0.05 | 7.7x | 388 | 50% |
| EMA 크로스오버 fast=16, slow=262 |
3.8% | -78.3% | 0.27 | 0.05 | 6.0x | 104 | 48% |
| ROC 모멘텀 n=129, threshold=0.05 |
3.1% | -82.6% | 0.24 | 0.04 | 4.3x | 436 | 41% |
| Supertrend period=24, mult=3 |
1.3% | -89.2% | 0.17 | 0.01 | 1.8x | 390 | 50% |
| ADX / DI 방향성 period=29, threshold=24 |
1.4% | -52.7% | 0.17 | 0.03 | 2.0x | 80 | 9% |
| MACD fast=16, slow=22, signal=16 |
0.4% | -87.0% | 0.14 | 0.00 | 1.2x | 669 | 50% |
| Buy and hold | 4.0% | -85.0% | 0.29 | 0.05 | 6.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 117 days
- Sell — Sell when price breaks below the lowest low of the last 13 days