Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Genesis Minerals Limited backtest
10 trend-following strategies were compared on the full daily history of Genesis Minerals Limited. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 25.7%, MDD -78.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 5.9%, drawdown -99.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 25.7%, MDD -78.1%, Sharpe 0.62, 49% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 19.8%p higher than buy and hold, while drawdown improves by 20.9%p (CAGR 25.7%, MDD -78.1%, exposure 49%).
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=22, slow=32 |
25.7% | -78.1% | 0.62 | 0.33 | 77.0x | 175 | 49% |
| Donchian 채널 돌파 entryN=44, exitN=45 |
13.8% | -87.6% | 0.48 | 0.16 | 11.6x | 52 | 51% |
| EMA 크로스오버 fast=47, slow=177 |
10.8% | -80.8% | 0.43 | 0.13 | 7.0x | 26 | 50% |
| Supertrend period=15, mult=5 |
3.6% | -96.6% | 0.35 | 0.04 | 2.0x | 98 | 52% |
| ADX / DI 방향성 period=35, threshold=19 |
0.8% | -92.9% | 0.30 | 0.01 | 1.2x | 56 | 33% |
| ROC 모멘텀 n=30, threshold=-0.04 |
-5.6% | -95.3% | 0.27 | -0.06 | 0.3x | 398 | 59% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=31, mult=3.3 |
-0.9% | -84.2% | 0.22 | -0.01 | 0.8x | 68 | 29% |
| Parabolic SAR step=0.01, maxStep=0.2 |
-5.7% | -94.3% | 0.20 | -0.06 | 0.3x | 173 | 48% |
| 볼린저 밴드 돌파 n=45, k=1.3 |
-7.2% | -86.7% | 0.12 | -0.08 | 0.2x | 140 | 36% |
| MACD fast=19, slow=34, signal=19 |
-19.0% | -99.1% | 0.02 | -0.19 | 0.0x | 239 | 52% |
| Buy and hold | 5.9% | -99.1% | 0.51 | 0.06 | 3.0x | 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 22-day average price crosses above the 32-day average
- Sell — Sell (to cash) when the 22-day average falls below the 32-day average