Trend-Following Backtester · Guide · backtest 한국어
equity · AU
West African Resources Ltd backtest
10 trend-following strategies were compared on the full daily history of West African Resources Ltd. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 22.0%, MDD -59.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 18.4%, drawdown -92.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 22.0%, MDD -59.7%, Sharpe 0.66, 54% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.6%p higher than buy and hold, while drawdown improves by 32.6%p (CAGR 22.0%, MDD -59.7%, exposure 54%).
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=112, slow=168 |
22.0% | -59.7% | 0.66 | 0.37 | 25.2x | 9 | 54% |
| SMA 크로스오버 fast=52, slow=178 |
13.9% | -76.8% | 0.51 | 0.18 | 8.3x | 26 | 49% |
| Donchian 채널 돌파 entryN=134, exitN=77 |
10.1% | -60.0% | 0.43 | 0.17 | 4.7x | 19 | 43% |
| ROC 모멘텀 n=142, threshold=0.14 |
5.8% | -70.5% | 0.34 | 0.08 | 2.5x | 119 | 39% |
| ADX / DI 방향성 period=39, threshold=21 |
3.1% | -37.7% | 0.25 | 0.08 | 1.7x | 18 | 10% |
| Parabolic SAR step=0.035, maxStep=0.16 |
-2.6% | -90.3% | 0.19 | -0.03 | 0.6x | 381 | 49% |
| Supertrend period=28, mult=2.2 |
-2.1% | -88.0% | 0.19 | -0.02 | 0.7x | 233 | 48% |
| MACD fast=19, slow=34, signal=18 |
-3.2% | -90.9% | 0.19 | -0.04 | 0.6x | 219 | 47% |
| 볼린저 밴드 돌파 n=44, k=2.2 |
-1.8% | -77.2% | 0.13 | -0.02 | 0.7x | 73 | 27% |
| Keltner 채널 돌파 emaPeriod=64, atrPeriod=12, mult=3.5 |
-4.0% | -87.8% | 0.06 | -0.05 | 0.5x | 53 | 24% |
| Buy and hold | 18.4% | -92.3% | 0.59 | 0.20 | 15.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 112-day EMA crosses above the 168-day EMA
- Sell — Sell when the 112-day EMA falls below the 168-day EMA