Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Capstone Copper Corp. backtest
10 trend-following strategies were compared on the full daily history of Capstone Copper Corp.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 18.6%, MDD -70.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR 5.4%, drawdown -98.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 21.0%, MDD -80.4%, Sharpe 0.62, 48% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 15.5%p higher than buy and hold, while drawdown improves by 17.6%p (CAGR 18.6%, MDD -70.2%, exposure 48%).
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=40, slow=46 |
21.0% | -80.4% | 0.62 | 0.26 | 305.7x | 247 | 48% |
| EMA 크로스오버 fast=37, slow=58 |
18.6% | -70.2% | 0.59 | 0.27 | 168.5x | 85 | 48% |
| Donchian 채널 돌파 entryN=81, exitN=55 |
12.8% | -82.8% | 0.49 | 0.15 | 37.3x | 49 | 46% |
| ADX / DI 방향성 period=34, threshold=11 |
11.9% | -74.1% | 0.47 | 0.16 | 29.5x | 218 | 38% |
| ROC 모멘텀 n=70, threshold=0.1 |
10.9% | -92.3% | 0.46 | 0.12 | 22.2x | 331 | 37% |
| Supertrend period=17, mult=4.7 |
9.0% | -97.1% | 0.42 | 0.09 | 13.4x | 103 | 54% |
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=18, mult=1.3 |
8.7% | -81.2% | 0.42 | 0.11 | 12.4x | 171 | 39% |
| 볼린저 밴드 돌파 n=58, k=1.2 |
6.9% | -75.8% | 0.38 | 0.09 | 7.4x | 163 | 38% |
| MACD fast=29, slow=72, signal=19 |
-2.2% | -98.5% | 0.29 | -0.02 | 0.5x | 213 | 56% |
| Parabolic SAR step=0.01, maxStep=0.16 |
-0.9% | -91.0% | 0.25 | -0.01 | 0.8x | 335 | 45% |
| Buy and hold | 5.4% | -98.0% | 0.47 | 0.06 | 4.9x | 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 40-day average price crosses above the 46-day average
- Sell — Sell (to cash) when the 40-day average falls below the 46-day average