Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Aya Gold & Silver Inc. backtest
10 trend-following strategies were compared on the full daily history of Aya Gold & Silver Inc.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 23.4%, MDD -55.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 19.0%, drawdown -81.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 23.4%, MDD -55.9%, Sharpe 0.66, 50% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 25.7%p (CAGR 23.4%, MDD -55.9%, exposure 50%).
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=66, slow=207 |
23.4% | -55.9% | 0.66 | 0.42 | 44.4x | 23 | 50% |
| EMA 크로스오버 fast=56, slow=82 |
14.1% | -72.7% | 0.51 | 0.19 | 10.8x | 35 | 54% |
| ADX / DI 방향성 period=30, threshold=18 |
10.8% | -56.6% | 0.45 | 0.19 | 6.4x | 66 | 20% |
| ROC 모멘텀 n=145, threshold=0.22 |
10.7% | -79.0% | 0.45 | 0.14 | 6.3x | 131 | 37% |
| Donchian 채널 돌파 entryN=108, exitN=75 |
8.0% | -79.2% | 0.40 | 0.10 | 4.0x | 27 | 46% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=14, mult=4 |
5.0% | -72.3% | 0.31 | 0.07 | 2.4x | 38 | 24% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-0.5% | -82.3% | 0.29 | -0.01 | 0.9x | 129 | 51% |
| Supertrend period=16, mult=5 |
-2.2% | -91.0% | 0.27 | -0.02 | 0.7x | 57 | 62% |
| 볼린저 밴드 돌파 n=59, k=2.4 |
-2.2% | -86.9% | 0.16 | -0.03 | 0.7x | 64 | 28% |
| MACD fast=18, slow=56, signal=29 |
-9.7% | -93.7% | 0.13 | -0.10 | 0.2x | 184 | 49% |
| Buy and hold | 19.0% | -81.7% | 0.62 | 0.23 | 22.8x | 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 66-day average price crosses above the 207-day average
- Sell — Sell (to cash) when the 66-day average falls below the 207-day average