Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Agnico Eagle Mines Limited backtest
10 trend-following strategies were compared on the full daily history of Agnico Eagle Mines Limited. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.8%, drawdown -84.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.5%, MDD -75.7%, Sharpe 0.33, 70% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=13, exitN=30 |
5.5% | -75.7% | 0.33 | 0.07 | 5.4x | 181 | 70% |
| ADX / DI 방향성 period=48, threshold=20 |
3.0% | -27.0% | 0.33 | 0.11 | 2.5x | 22 | 7% |
| SMA 크로스오버 fast=41, slow=210 |
3.8% | -70.6% | 0.28 | 0.05 | 3.2x | 52 | 53% |
| Supertrend period=29, mult=4.4 |
3.5% | -77.4% | 0.26 | 0.05 | 3.0x | 137 | 51% |
| EMA 크로스오버 fast=36, slow=194 |
2.8% | -77.6% | 0.24 | 0.04 | 2.4x | 63 | 55% |
| MACD fast=21, slow=59, signal=18 |
2.0% | -81.3% | 0.22 | 0.02 | 1.9x | 307 | 52% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=13, mult=3.5 |
1.8% | -74.2% | 0.19 | 0.02 | 1.8x | 95 | 27% |
| ROC 모멘텀 n=86, threshold=0.06 |
0.6% | -77.3% | 0.17 | 0.01 | 1.2x | 387 | 46% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-0.4% | -81.5% | 0.14 | -0.00 | 0.9x | 277 | 52% |
| 볼린저 밴드 돌파 n=44, k=1.3 |
-0.3% | -77.5% | 0.12 | -0.00 | 0.9x | 235 | 41% |
| Buy and hold | 9.8% | -84.4% | 0.43 | 0.12 | 19.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 13 days
- Sell — Sell when price breaks below the lowest low of the last 30 days