Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Perseus Mining Limited backtest
10 trend-following strategies were compared on the full daily history of Perseus Mining Limited. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 20.1%, MDD -60.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 15.7%, drawdown -94.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.0%, MDD -66.6%, Sharpe 0.66, 61% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 6.3%p higher than buy and hold, while drawdown improves by 28.1%p (CAGR 20.1%, MDD -60.4%, exposure 62%).
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=69, slow=160 |
22.0% | -66.6% | 0.66 | 0.33 | 77.9x | 32 | 61% |
| ROC 모멘텀 n=130, threshold=-0.02 |
20.1% | -60.4% | 0.63 | 0.33 | 54.8x | 176 | 62% |
| EMA 크로스오버 fast=29, slow=180 |
15.6% | -78.9% | 0.55 | 0.20 | 23.7x | 36 | 60% |
| Donchian 채널 돌파 entryN=46, exitN=77 |
15.5% | -79.5% | 0.54 | 0.19 | 23.2x | 38 | 69% |
| 볼린저 밴드 돌파 n=58, k=1.7 |
6.6% | -75.6% | 0.35 | 0.09 | 4.0x | 100 | 37% |
| Supertrend period=10, mult=4.1 |
5.4% | -91.9% | 0.34 | 0.06 | 3.2x | 113 | 56% |
| MACD fast=20, slow=35, signal=19 |
5.0% | -78.3% | 0.33 | 0.06 | 2.9x | 253 | 49% |
| Parabolic SAR step=0.005, maxStep=0.34 |
4.7% | -85.7% | 0.32 | 0.06 | 2.7x | 176 | 50% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=23, mult=2.3 |
3.4% | -77.7% | 0.27 | 0.04 | 2.1x | 114 | 37% |
| ADX / DI 방향성 period=32, threshold=13 |
2.5% | -68.4% | 0.25 | 0.04 | 1.7x | 150 | 35% |
| Buy and hold | 15.7% | -94.8% | 0.54 | 0.17 | 24.4x | 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 69-day average price crosses above the 160-day average
- Sell — Sell (to cash) when the 69-day average falls below the 160-day average