Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Aris Mining Corp backtest
10 trend-following strategies were compared on the full daily history of Aris Mining Corp. 9 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.6%, MDD -62.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR -18.1%, drawdown -99.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 13.5%, MDD -66.2%, Sharpe 0.54, 42% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 31.6%p higher than buy and hold, while drawdown improves by 33.7%p (CAGR 11.6%, MDD -62.1%, exposure 26%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=55, slow=205 |
13.5% | -66.2% | 0.54 | 0.20 | 7.4x | 11 | 42% |
| Donchian 채널 돌파 entryN=50, exitN=16 |
11.6% | -62.1% | 0.49 | 0.19 | 5.7x | 47 | 26% |
| 볼린저 밴드 돌파 n=54, k=2.5 |
9.2% | -65.8% | 0.44 | 0.14 | 4.0x | 37 | 23% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=20, mult=2.7 |
7.3% | -66.0% | 0.39 | 0.11 | 3.1x | 49 | 20% |
| Supertrend period=16, mult=5 |
5.5% | -81.6% | 0.33 | 0.07 | 2.3x | 35 | 44% |
| ROC 모멘텀 n=105, threshold=0.07 |
5.5% | -73.7% | 0.33 | 0.07 | 2.3x | 139 | 39% |
| SMA 크로스오버 fast=25, slow=77 |
4.2% | -82.4% | 0.30 | 0.05 | 1.9x | 53 | 44% |
| ADX / DI 방향성 period=23, threshold=15 |
4.0% | -67.3% | 0.29 | 0.06 | 1.8x | 139 | 28% |
| Parabolic SAR step=0.02, maxStep=0.2 |
-8.3% | -92.4% | 0.05 | -0.09 | 0.3x | 301 | 44% |
| MACD fast=17, slow=53, signal=19 |
-23.7% | -99.5% | -0.20 | -0.24 | 0.0x | 175 | 54% |
| Buy and hold | -18.1% | -99.9% | 0.08 | -0.18 | 0.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 55-day EMA crosses above the 205-day EMA
- Sell — Sell when the 55-day EMA falls below the 205-day EMA