Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Eldorado Gold Corporation backtest
10 trend-following strategies were compared on the full daily history of Eldorado Gold Corporation. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.1%, MDD -25.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR 1.4%, drawdown -97.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.0%, MDD -84.0%, Sharpe 0.46, 51% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.6%p higher than buy and hold, while drawdown improves by 13.8%p (CAGR 3.1%, MDD -25.3%, exposure 1%).
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=49, slow=139 |
11.0% | -84.0% | 0.46 | 0.13 | 23.9x | 49 | 51% |
| ADX / DI 방향성 period=16, threshold=45 |
3.1% | -25.3% | 0.34 | 0.12 | 2.5x | 10 | 1% |
| ROC 모멘텀 n=82, threshold=-0.04 |
4.3% | -94.4% | 0.32 | 0.05 | 3.6x | 311 | 56% |
| EMA 크로스오버 fast=38, slow=169 |
4.6% | -90.9% | 0.31 | 0.05 | 3.9x | 53 | 50% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=13, mult=3.8 |
4.1% | -62.8% | 0.29 | 0.07 | 3.4x | 59 | 14% |
| 볼린저 밴드 돌파 n=100, k=3.3 |
4.0% | -66.6% | 0.29 | 0.06 | 3.3x | 23 | 14% |
| Donchian 채널 돌파 entryN=98, exitN=79 |
2.8% | -89.7% | 0.27 | 0.03 | 2.3x | 45 | 49% |
| MACD fast=13, slow=55, signal=8 |
0.0% | -89.7% | 0.24 | 0.00 | 1.0x | 513 | 51% |
| Parabolic SAR step=0.035, maxStep=0.28 |
-1.9% | -97.3% | 0.18 | -0.02 | 0.6x | 883 | 49% |
| Supertrend period=22, mult=4.8 |
-2.8% | -94.0% | 0.16 | -0.03 | 0.4x | 109 | 51% |
| Buy and hold | 1.4% | -97.8% | 0.34 | 0.01 | 1.5x | 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 49-day average price crosses above the 139-day average
- Sell — Sell (to cash) when the 49-day average falls below the 139-day average