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. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 2.3%, drawdown -95.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.2%, MDD -80.3%, Sharpe 0.38, 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 |
8.2% | -80.3% | 0.38 | 0.10 | 20.9x | 75 | 42% |
| SMA 크로스오버 fast=21, slow=136 |
6.5% | -89.1% | 0.37 | 0.07 | 11.5x | 93 | 43% |
| ROC 모멘텀 n=118, threshold=0.05 |
1.7% | -89.7% | 0.28 | 0.02 | 1.9x | 203 | 41% |
| 볼린저 밴드 돌파 n=45, k=1.2 |
1.6% | -94.0% | 0.24 | 0.02 | 1.8x | 227 | 33% |
| Donchian 채널 돌파 entryN=18, exitN=40 |
-7.4% | -98.8% | 0.21 | -0.07 | 0.1x | 251 | 65% |
| Keltner 채널 돌파 emaPeriod=62, atrPeriod=10, mult=2.1 |
-0.2% | -94.9% | 0.21 | -0.00 | 0.9x | 175 | 32% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-2.3% | -98.3% | 0.20 | -0.02 | 0.4x | 211 | 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 |
-7.5% | -98.2% | 0.15 | -0.08 | 0.1x | 489 | 51% |
| Supertrend period=15, mult=4.4 |
-6.6% | -98.8% | 0.13 | -0.07 | 0.1x | 183 | 48% |
| Buy and hold | 2.3% | -95.0% | 0.39 | 0.02 | 2.4x | 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