Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Barrick Mining Corporation backtest
10 trend-following strategies were compared on the full daily history of Barrick Mining Corporation. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 2.2%, drawdown -85.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.5%, MDD -13.4%, Sharpe 0.30, 1% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=28, threshold=31 |
1.5% | -13.4% | 0.30 | 0.11 | 1.6x | 2 | 1% |
| Donchian 채널 돌파 entryN=6, exitN=81 |
1.3% | -85.5% | 0.22 | 0.02 | 1.5x | 117 | 88% |
| 볼린저 밴드 돌파 n=35, k=3.4 |
1.3% | -34.6% | 0.18 | 0.04 | 1.5x | 20 | 4% |
| SMA 크로스오버 fast=53, slow=181 |
-0.7% | -77.8% | 0.10 | -0.01 | 0.8x | 60 | 50% |
| MACD fast=17, slow=24, signal=18 |
-1.8% | -84.1% | 0.08 | -0.02 | 0.6x | 429 | 51% |
| EMA 크로스오버 fast=49, slow=194 |
-2.8% | -88.1% | 0.03 | -0.03 | 0.4x | 65 | 50% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=12, mult=3.9 |
-0.5% | -36.3% | -0.01 | -0.01 | 0.9x | 29 | 4% |
| ROC 모멘텀 n=73, threshold=-0.09 |
-6.2% | -96.4% | -0.04 | -0.06 | 0.1x | 345 | 74% |
| Supertrend period=23, mult=2.5 |
-4.8% | -93.5% | -0.04 | -0.05 | 0.2x | 323 | 49% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-6.7% | -94.9% | -0.11 | -0.07 | 0.1x | 561 | 49% |
| Buy and hold | 2.2% | -85.7% | 0.25 | 0.03 | 2.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 28-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)