Trend-Following Backtester · Guide · backtest 한국어
equity · CA
DPM Metals Inc. backtest
10 trend-following strategies were compared on the full daily history of DPM Metals Inc.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.9%, MDD -62.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 10.3%, drawdown -94.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.3%, MDD -82.3%, Sharpe 0.63, 52% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.0%p higher than buy and hold, while drawdown improves by 11.8%p (CAGR 11.9%, MDD -62.7%, exposure 44%).
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=90, slow=231 |
16.3% | -82.3% | 0.63 | 0.20 | 117.8x | 25 | 52% |
| Donchian 채널 돌파 entryN=119, exitN=67 |
11.9% | -62.7% | 0.55 | 0.19 | 35.0x | 35 | 44% |
| EMA 크로스오버 fast=30, slow=285 |
12.7% | -73.0% | 0.53 | 0.17 | 44.3x | 33 | 58% |
| ROC 모멘텀 n=199, threshold=-0.03 |
11.8% | -90.2% | 0.50 | 0.13 | 33.7x | 163 | 59% |
| 볼린저 밴드 돌파 n=41, k=1.5 |
8.7% | -61.0% | 0.44 | 0.14 | 13.9x | 205 | 38% |
| Parabolic SAR step=0.01, maxStep=0.12 |
9.1% | -68.2% | 0.43 | 0.13 | 15.6x | 382 | 50% |
| Supertrend period=9, mult=2.4 |
8.2% | -68.2% | 0.40 | 0.12 | 12.2x | 327 | 50% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=24, mult=2.1 |
7.4% | -59.4% | 0.40 | 0.12 | 9.5x | 181 | 33% |
| ADX / DI 방향성 period=41, threshold=12 |
5.5% | -53.1% | 0.33 | 0.10 | 5.5x | 179 | 35% |
| MACD fast=19, slow=38, signal=17 |
5.5% | -71.1% | 0.33 | 0.08 | 5.5x | 371 | 51% |
| Buy and hold | 10.3% | -94.2% | 0.44 | 0.11 | 22.3x | 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 90-day average price crosses above the 231-day average
- Sell — Sell (to cash) when the 90-day average falls below the 231-day average