Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Ero Copper Corp. backtest
10 trend-following strategies were compared on the full daily history of Ero Copper Corp.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 26.3%, MDD -49.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 30.8%, drawdown -62.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 39.9%, MDD -62.2%, Sharpe 0.95, 88% exposure.
Return/drawdown alternative: Supertrend — CAGR is 9.1%p higher than buy and hold, while drawdown improves by 0.5%p (CAGR 26.3%, MDD -49.3%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=8, exitN=70 |
39.9% | -62.2% | 0.95 | 0.64 | 19.6x | 21 | 88% |
| Supertrend period=6, mult=4.2 |
26.3% | -49.3% | 0.80 | 0.53 | 7.9x | 35 | 58% |
| SMA 크로스오버 fast=26, slow=105 |
22.1% | -43.7% | 0.72 | 0.51 | 5.9x | 21 | 61% |
| ROC 모멘텀 n=127, threshold=-0.04 |
20.0% | -44.7% | 0.68 | 0.45 | 5.1x | 47 | 62% |
| EMA 크로스오버 fast=31, slow=211 |
20.3% | -48.2% | 0.67 | 0.42 | 5.1x | 11 | 62% |
| MACD fast=14, slow=49, signal=19 |
19.3% | -46.5% | 0.67 | 0.42 | 4.8x | 101 | 49% |
| 볼린저 밴드 돌파 n=14, k=0.7 |
17.6% | -55.9% | 0.64 | 0.31 | 4.2x | 187 | 48% |
| Parabolic SAR step=0.025, maxStep=0.14 |
18.1% | -58.2% | 0.64 | 0.31 | 4.4x | 197 | 53% |
| ADX / DI 방향성 period=7, threshold=11 |
13.3% | -74.7% | 0.52 | 0.18 | 3.0x | 243 | 54% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=15, mult=2.2 |
1.1% | -35.3% | 0.15 | 0.03 | 1.1x | 39 | 12% |
| Buy and hold | 30.8% | -62.8% | 0.77 | 0.49 | 10.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 8 days
- Sell — Sell when price breaks below the lowest low of the last 70 days