Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Alamos Gold Inc. backtest
10 trend-following strategies were compared on the full daily history of Alamos Gold Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 14.1%, drawdown -83.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.3%, MDD -69.2%, Sharpe 0.45, 56% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=53, slow=214 |
10.3% | -69.2% | 0.45 | 0.15 | 9.4x | 34 | 56% |
| EMA 크로스오버 fast=55, slow=178 |
9.9% | -74.7% | 0.44 | 0.13 | 8.7x | 32 | 58% |
| Donchian 채널 돌파 entryN=144, exitN=55 |
7.0% | -64.7% | 0.38 | 0.11 | 4.7x | 28 | 36% |
| ADX / DI 방향성 period=24, threshold=25 |
3.0% | -34.9% | 0.27 | 0.09 | 2.0x | 38 | 8% |
| ROC 모멘텀 n=147, threshold=-0.01 |
2.6% | -87.8% | 0.25 | 0.03 | 1.8x | 204 | 57% |
| 볼린저 밴드 돌파 n=53, k=2 |
1.3% | -82.7% | 0.18 | 0.02 | 1.4x | 98 | 32% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=24, mult=3.7 |
1.6% | -46.0% | 0.18 | 0.03 | 1.4x | 34 | 10% |
| Supertrend period=29, mult=5 |
-2.9% | -94.2% | 0.10 | -0.03 | 0.5x | 76 | 49% |
| MACD fast=15, slow=22, signal=12 |
-5.4% | -84.8% | 0.03 | -0.06 | 0.3x | 397 | 50% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-5.8% | -95.5% | 0.02 | -0.06 | 0.3x | 202 | 50% |
| Buy and hold | 14.1% | -83.9% | 0.51 | 0.17 | 20.4x | 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 53-day average price crosses above the 214-day average
- Sell — Sell (to cash) when the 53-day average falls below the 214-day average