Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Westgold Resources Ltd backtest
10 trend-following strategies were compared on the full daily history of Westgold Resources Ltd. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.0%, MDD -58.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.3%, drawdown -75.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.0%, MDD -58.8%, Sharpe 0.53, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 16.3%p (CAGR 14.0%, MDD -58.8%, exposure 55%).
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=26, slow=143 |
14.0% | -58.8% | 0.53 | 0.24 | 3.6x | 18 | 55% |
| ROC 모멘텀 n=123, threshold=-0.04 |
13.2% | -53.3% | 0.51 | 0.25 | 3.3x | 82 | 57% |
| 볼린저 밴드 돌파 n=39, k=0.9 |
11.4% | -65.3% | 0.49 | 0.18 | 2.9x | 73 | 42% |
| Donchian 채널 돌파 entryN=48, exitN=56 |
11.1% | -65.3% | 0.46 | 0.17 | 2.8x | 21 | 60% |
| EMA 크로스오버 fast=50, slow=169 |
8.8% | -53.7% | 0.41 | 0.16 | 2.3x | 15 | 52% |
| Supertrend period=10, mult=4.8 |
8.1% | -65.4% | 0.39 | 0.12 | 2.1x | 35 | 51% |
| ADX / DI 방향성 period=15, threshold=17 |
7.6% | -51.9% | 0.38 | 0.15 | 2.0x | 141 | 43% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=8, mult=4 |
5.4% | -37.3% | 0.37 | 0.15 | 1.7x | 13 | 12% |
| Parabolic SAR step=0.01, maxStep=0.22 |
4.0% | -67.4% | 0.29 | 0.06 | 1.5x | 131 | 50% |
| MACD fast=11, slow=22, signal=15 |
-3.4% | -81.8% | 0.09 | -0.04 | 0.7x | 181 | 51% |
| Buy and hold | 14.3% | -75.1% | 0.52 | 0.19 | 3.7x | 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 26-day average price crosses above the 143-day average
- Sell — Sell (to cash) when the 26-day average falls below the 143-day average