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 0.1%, drawdown -97.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.1%, MDD -84.0%, Sharpe 0.46, 51% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.0%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 |
11.1% | -84.0% | 0.46 | 0.13 | 24.5x | 48 | 51% |
| ADX / DI 방향성 period=16, threshold=45 |
3.1% | -25.3% | 0.34 | 0.12 | 2.5x | 10 | 1% |
| EMA 크로스오버 fast=38, slow=169 |
4.2% | -90.9% | 0.30 | 0.05 | 3.4x | 52 | 50% |
| ROC 모멘텀 n=82, threshold=-0.04 |
3.6% | -94.4% | 0.30 | 0.04 | 2.9x | 310 | 56% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=13, mult=3.8 |
4.2% | -62.8% | 0.29 | 0.07 | 3.5x | 58 | 14% |
| 볼린저 밴드 돌파 n=100, k=3.3 |
4.1% | -66.6% | 0.29 | 0.06 | 3.4x | 22 | 14% |
| Donchian 채널 돌파 entryN=98, exitN=79 |
2.2% | -89.7% | 0.25 | 0.03 | 2.0x | 44 | 49% |
| MACD fast=13, slow=55, signal=8 |
-1.2% | -89.7% | 0.21 | -0.01 | 0.7x | 513 | 51% |
| Parabolic SAR step=0.035, maxStep=0.28 |
-2.7% | -97.3% | 0.16 | -0.03 | 0.4x | 879 | 49% |
| Supertrend period=22, mult=4.8 |
-3.5% | -94.0% | 0.15 | -0.04 | 0.3x | 108 | 51% |
| Buy and hold | 0.1% | -97.8% | 0.32 | 0.00 | 1.0x | 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