Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Centerra Gold Inc. backtest
10 trend-following strategies were compared on the full daily history of Centerra Gold Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 10.6%, MDD -67.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 8.5%, drawdown -94.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.0%, MDD -76.3%, Sharpe 0.54, 52% exposure.
Return/drawdown alternative: Supertrend — CAGR is 5.5%p higher than buy and hold, while drawdown improves by 17.7%p (CAGR 10.6%, MDD -67.0%, exposure 46%).
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=32, slow=39 |
14.0% | -76.3% | 0.54 | 0.18 | 18.3x | 211 | 52% |
| Supertrend period=23, mult=4.3 |
10.6% | -67.0% | 0.46 | 0.16 | 9.3x | 95 | 46% |
| EMA 크로스오버 fast=32, slow=40 |
8.2% | -80.8% | 0.40 | 0.10 | 5.7x | 87 | 54% |
| 볼린저 밴드 돌파 n=42, k=2.4 |
7.2% | -53.8% | 0.39 | 0.13 | 4.7x | 79 | 24% |
| Donchian 채널 돌파 entryN=29, exitN=54 |
7.4% | -94.0% | 0.38 | 0.08 | 4.9x | 67 | 64% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=19, mult=2.9 |
4.2% | -56.1% | 0.29 | 0.08 | 2.5x | 89 | 25% |
| ROC 모멘텀 n=32, threshold=0.05 |
4.0% | -87.8% | 0.29 | 0.05 | 2.4x | 375 | 41% |
| MACD fast=9, slow=53, signal=13 |
1.6% | -87.9% | 0.25 | 0.02 | 1.4x | 347 | 52% |
| Parabolic SAR step=0.03, maxStep=0.12 |
0.7% | -92.9% | 0.22 | 0.01 | 1.2x | 517 | 52% |
| ADX / DI 방향성 period=31, threshold=22 |
1.0% | -66.3% | 0.15 | 0.02 | 1.3x | 40 | 10% |
| Buy and hold | 8.5% | -94.0% | 0.44 | 0.09 | 6.2x | 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 32-day average price crosses above the 39-day average
- Sell — Sell (to cash) when the 32-day average falls below the 39-day average