Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Alkane Resources Ltd backtest
10 trend-following strategies were compared on the full daily history of Alkane Resources Ltd. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
3 of 10 beat buy and hold (CAGR 1.4%, drawdown -95.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.6%, MDD -80.3%, Sharpe 0.37, 42% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=30, slow=132 |
7.6% | -80.3% | 0.37 | 0.10 | 17.0x | 74 | 42% |
| SMA 크로스오버 fast=21, slow=136 |
6.7% | -89.1% | 0.37 | 0.07 | 12.0x | 92 | 43% |
| ROC 모멘텀 n=118, threshold=0.05 |
1.6% | -89.7% | 0.27 | 0.02 | 1.8x | 202 | 41% |
| 볼린저 밴드 돌파 n=45, k=1.2 |
1.1% | -94.0% | 0.23 | 0.01 | 1.5x | 226 | 33% |
| Donchian 채널 돌파 entryN=18, exitN=40 |
-7.9% | -98.8% | 0.20 | -0.08 | 0.0x | 250 | 65% |
| Keltner 채널 돌파 emaPeriod=62, atrPeriod=10, mult=2.1 |
-0.6% | -94.9% | 0.20 | -0.01 | 0.8x | 174 | 32% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-2.9% | -98.3% | 0.19 | -0.03 | 0.3x | 210 | 41% |
| ADX / DI 방향성 period=39, threshold=16 |
-1.3% | -90.9% | 0.16 | -0.01 | 0.6x | 140 | 26% |
| MACD fast=17, slow=64, signal=10 |
-8.2% | -98.2% | 0.14 | -0.08 | 0.0x | 488 | 50% |
| Supertrend period=15, mult=4.4 |
-6.8% | -98.8% | 0.12 | -0.07 | 0.1x | 182 | 48% |
| Buy and hold | 1.4% | -95.0% | 0.38 | 0.01 | 1.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 30-day EMA crosses above the 132-day EMA
- Sell — Sell when the 30-day EMA falls below the 132-day EMA