Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Endeavour Mining PLC backtest
10 trend-following strategies were compared on the full daily history of Endeavour Mining PLC. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.0%, MDD -51.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR 4.5%, drawdown -96.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.0%, MDD -51.0%, Sharpe 0.43, 12% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.6%, MDD -81.9%, exposure 78%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 45.6%p (CAGR 7.0%, MDD -51.0%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=33, k=3.3 |
7.0% | -51.0% | 0.43 | 0.14 | 7.6x | 50 | 12% |
| Donchian 채널 돌파 entryN=15, exitN=75 |
9.6% | -81.9% | 0.43 | 0.12 | 15.9x | 113 | 78% |
| EMA 크로스오버 fast=29, slow=44 |
8.0% | -81.6% | 0.39 | 0.10 | 10.2x | 115 | 53% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=13, mult=3.7 |
7.1% | -62.7% | 0.39 | 0.11 | 7.8x | 85 | 22% |
| SMA 크로스오버 fast=8, slow=66 |
7.5% | -84.5% | 0.38 | 0.09 | 8.9x | 165 | 52% |
| ADX / DI 방향성 period=33, threshold=19 |
6.7% | -67.9% | 0.38 | 0.10 | 7.0x | 94 | 18% |
| Parabolic SAR step=0.01, maxStep=0.02 |
6.8% | -85.2% | 0.36 | 0.08 | 7.2x | 165 | 51% |
| MACD fast=24, slow=51, signal=23 |
6.0% | -84.1% | 0.34 | 0.07 | 5.8x | 245 | 50% |
| Supertrend period=9, mult=4.8 |
5.4% | -87.9% | 0.33 | 0.06 | 4.9x | 133 | 51% |
| ROC 모멘텀 n=27, threshold=-0.07 |
-1.3% | -95.6% | 0.18 | -0.01 | 0.7x | 501 | 71% |
| Buy and hold | 4.5% | -96.5% | 0.35 | 0.05 | 3.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 33-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 33-day middle average