Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Cameco Corporation backtest
10 trend-following strategies were compared on the full daily history of Cameco Corporation. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 11.5%, MDD -69.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.6%, drawdown -86.6%).
Sharpe leader (same as main): Supertrend — CAGR 11.5%, MDD -69.1%, Sharpe 0.53, 56% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 17.5%p (CAGR 11.5%, MDD -69.1%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=11, mult=4.7 |
11.5% | -69.1% | 0.53 | 0.17 | 31.2x | 104 | 56% |
| EMA 크로스오버 fast=54, slow=174 |
9.9% | -73.5% | 0.47 | 0.13 | 19.6x | 34 | 53% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=8, mult=4 |
5.1% | -36.2% | 0.43 | 0.14 | 4.8x | 52 | 14% |
| 볼린저 밴드 돌파 n=44, k=3.4 |
4.5% | -26.2% | 0.42 | 0.17 | 4.0x | 26 | 8% |
| Donchian 채널 돌파 entryN=68, exitN=58 |
8.1% | -64.9% | 0.41 | 0.12 | 11.6x | 56 | 55% |
| ROC 모멘텀 n=122, threshold=-0.01 |
7.1% | -82.9% | 0.38 | 0.09 | 8.6x | 248 | 57% |
| SMA 크로스오버 fast=41, slow=168 |
6.6% | -80.6% | 0.36 | 0.08 | 7.5x | 48 | 55% |
| ADX / DI 방향성 period=31, threshold=34 |
1.5% | -19.7% | 0.34 | 0.08 | 1.6x | 10 | 3% |
| MACD fast=20, slow=23, signal=11 |
-3.0% | -91.3% | 0.03 | -0.03 | 0.4x | 488 | 50% |
| Parabolic SAR step=0.02, maxStep=0.38 |
-6.3% | -97.6% | -0.10 | -0.06 | 0.1x | 666 | 50% |
| Buy and hold | 10.6% | -86.6% | 0.45 | 0.12 | 24.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 11-day volatility, 4.7× band
- Sell — Sell when price drops below the trend line (flips down)