Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Discovery Mining Ltd. backtest
10 trend-following strategies were compared on the full daily history of Discovery Mining Ltd.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 58.0%, MDD -52.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 52.7%, drawdown -83.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 62.1%, MDD -69.6%, Sharpe 0.88, 43% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 9.4%p higher than buy and hold, while drawdown improves by 13.8%p (CAGR 58.0%, MDD -52.1%, exposure 34%).
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=16, slow=44 |
62.1% | -69.6% | 0.88 | 0.89 | 293.2x | 58 | 43% |
| ROC 모멘텀 n=111, threshold=0.12 |
55.4% | -62.5% | 0.86 | 0.89 | 179.6x | 70 | 42% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=22, mult=2.5 |
58.0% | -52.1% | 0.85 | 1.11 | 217.9x | 38 | 34% |
| 볼린저 밴드 돌파 n=60, k=1.4 |
55.6% | -62.7% | 0.83 | 0.89 | 182.3x | 38 | 34% |
| ADX / DI 방향성 period=30, threshold=22 |
52.5% | -63.9% | 0.81 | 0.82 | 142.9x | 22 | 28% |
| EMA 크로스오버 fast=10, slow=199 |
46.3% | -75.4% | 0.78 | 0.61 | 88.1x | 21 | 48% |
| Donchian 채널 돌파 entryN=34, exitN=86 |
49.0% | -83.7% | 0.74 | 0.58 | 108.8x | 21 | 73% |
| Supertrend period=17, mult=4.2 |
38.8% | -81.9% | 0.69 | 0.47 | 47.2x | 55 | 40% |
| MACD fast=17, slow=57, signal=14 |
37.6% | -87.2% | 0.66 | 0.43 | 42.8x | 119 | 52% |
| Parabolic SAR step=0.015, maxStep=0.14 |
30.5% | -90.6% | 0.62 | 0.34 | 22.9x | 145 | 49% |
| Buy and hold | 52.7% | -83.4% | 0.79 | 0.63 | 145.1x | 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 16-day average price crosses above the 44-day average
- Sell — Sell (to cash) when the 16-day average falls below the 44-day average