Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Bellevue Gold Limited backtest
10 trend-following strategies were compared on the full daily history of Bellevue Gold Limited. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.7%, MDD -65.1%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.6%, drawdown -99.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 24.1%, MDD -85.4%, Sharpe 0.64, 42% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 24.8%p higher than buy and hold, while drawdown improves by 14.3%p (CAGR 9.7%, MDD -65.1%, exposure 21%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=33, slow=154 |
24.1% | -85.4% | 0.64 | 0.28 | 88.0x | 32 | 42% |
| Donchian 채널 돌파 entryN=110, exitN=66 |
21.5% | -79.3% | 0.60 | 0.27 | 56.2x | 22 | 40% |
| EMA 크로스오버 fast=49, slow=83 |
20.6% | -86.5% | 0.59 | 0.24 | 47.9x | 41 | 43% |
| ADX / DI 방향성 period=39, threshold=21 |
16.1% | -80.9% | 0.53 | 0.20 | 21.9x | 32 | 23% |
| Keltner 채널 돌파 emaPeriod=208, atrPeriod=8, mult=0.8 |
10.0% | -94.8% | 0.45 | 0.11 | 7.2x | 97 | 44% |
| ROC 모멘텀 n=136, threshold=0.03 |
8.3% | -83.3% | 0.44 | 0.10 | 5.2x | 162 | 44% |
| 볼린저 밴드 돌파 n=98, k=3.4 |
9.7% | -65.1% | 0.42 | 0.15 | 6.8x | 24 | 21% |
| Supertrend period=12, mult=3.8 |
-5.0% | -96.9% | 0.25 | -0.05 | 0.3x | 171 | 44% |
| Parabolic SAR step=0.04, maxStep=0.2 |
-10.9% | -99.8% | 0.17 | -0.11 | 0.1x | 461 | 46% |
| MACD fast=15, slow=66, signal=15 |
-13.8% | -98.9% | 0.15 | -0.14 | 0.0x | 249 | 51% |
| Buy and hold | -0.6% | -99.7% | 0.48 | -0.01 | 0.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 33-day average price crosses above the 154-day average
- Sell — Sell (to cash) when the 33-day average falls below the 154-day average