Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Faraday Copper Corp backtest
10 trend-following strategies were compared on the full daily history of Faraday Copper Corp. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 45.7%, MDD -56.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 56.9%, drawdown -78.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 41.5%, MDD -50.6%, Sharpe 0.95, 36% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 55.2%, MDD -65.3%, exposure 64%.
Return/drawdown alternative: Parabolic SAR — CAGR is 15.4%p lower than buy and hold, while drawdown improves by 27.8%p (CAGR 45.7%, MDD -56.6%, exposure 51%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=36, threshold=13 |
41.5% | -50.6% | 0.95 | 0.82 | 19.6x | 38 | 36% |
| EMA 크로스오버 fast=53, slow=167 |
35.8% | -55.6% | 0.82 | 0.64 | 13.8x | 11 | 57% |
| 볼린저 밴드 돌파 n=56, k=3.5 |
24.9% | -35.8% | 0.79 | 0.70 | 6.7x | 8 | 18% |
| Donchian 채널 돌파 entryN=30, exitN=47 |
55.2% | -65.3% | 0.72 | 0.85 | 43.3x | 27 | 64% |
| SMA 크로스오버 fast=10, slow=112 |
54.1% | -69.6% | 0.69 | 0.78 | 40.7x | 33 | 54% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=21, mult=3.8 |
22.0% | -56.1% | 0.68 | 0.39 | 5.5x | 20 | 31% |
| Parabolic SAR step=0.01, maxStep=0.3 |
45.7% | -56.6% | 0.65 | 0.81 | 25.2x | 100 | 51% |
| ROC 모멘텀 n=140, threshold=0.13 |
40.1% | -57.5% | 0.60 | 0.70 | 18.0x | 77 | 49% |
| Supertrend period=8, mult=3.8 |
34.9% | -80.7% | 0.60 | 0.43 | 13.0x | 42 | 58% |
| MACD fast=17, slow=32, signal=13 |
22.7% | -68.8% | 0.51 | 0.33 | 5.8x | 114 | 51% |
| Buy and hold | 56.9% | -78.4% | 0.79 | 0.73 | 47.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 36-day) is ≥ 13
- Sell — Sell when direction flips or the trend weakens (ADX < 13)