Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Amerigo Resources Ltd backtest
10 trend-following strategies were compared on the full daily history of Amerigo Resources Ltd. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 21.0%, MDD -61.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR 16.4%, drawdown -97.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.6%, MDD -74.4%, Sharpe 0.69, 55% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 6.3%p higher than buy and hold, while drawdown improves by 22.6%p (CAGR 21.0%, MDD -61.3%, exposure 51%).
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=41, slow=150 |
22.6% | -74.4% | 0.69 | 0.30 | 147.5x | 37 | 55% |
| Donchian 채널 돌파 entryN=61, exitN=61 |
22.0% | -79.9% | 0.67 | 0.27 | 129.3x | 43 | 59% |
| ROC 모멘텀 n=125, threshold=0.1 |
21.1% | -83.7% | 0.65 | 0.25 | 107.7x | 183 | 46% |
| Supertrend period=9, mult=4.8 |
21.2% | -78.4% | 0.62 | 0.27 | 110.2x | 71 | 57% |
| Parabolic SAR step=0.025, maxStep=0.08 |
21.0% | -61.3% | 0.62 | 0.34 | 105.6x | 389 | 51% |
| ADX / DI 방향성 period=17, threshold=10 |
19.3% | -68.3% | 0.59 | 0.28 | 74.5x | 427 | 50% |
| EMA 크로스오버 fast=28, slow=200 |
17.2% | -79.0% | 0.59 | 0.22 | 48.8x | 43 | 54% |
| 볼린저 밴드 돌파 n=42, k=1.2 |
16.1% | -64.6% | 0.55 | 0.25 | 38.9x | 175 | 41% |
| MACD fast=23, slow=43, signal=12 |
14.3% | -94.9% | 0.51 | 0.15 | 26.4x | 279 | 51% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=8, mult=1.9 |
11.1% | -67.6% | 0.45 | 0.16 | 13.2x | 131 | 39% |
| Buy and hold | 16.4% | -97.0% | 0.56 | 0.17 | 40.8x | 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 41-day average price crosses above the 150-day average
- Sell — Sell (to cash) when the 41-day average falls below the 150-day average