Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Fortuna Mining Corp. backtest
10 trend-following strategies were compared on the full daily history of Fortuna Mining Corp.. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 6.1%, drawdown -96.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.0%, MDD -80.0%, Sharpe 0.40, 47% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=49, slow=270 |
9.0% | -80.0% | 0.40 | 0.11 | 16.0x | 29 | 47% |
| SMA 크로스오버 fast=24, slow=203 |
4.9% | -88.2% | 0.34 | 0.06 | 4.7x | 53 | 48% |
| Donchian 채널 돌파 entryN=117, exitN=69 |
3.7% | -80.8% | 0.29 | 0.05 | 3.3x | 45 | 46% |
| ROC 모멘텀 n=123, threshold=0.04 |
0.4% | -86.9% | 0.23 | 0.00 | 1.1x | 276 | 45% |
| 볼린저 밴드 돌파 n=49, k=2.9 |
2.3% | -81.2% | 0.23 | 0.03 | 2.1x | 69 | 19% |
| ADX / DI 방향성 period=21, threshold=23 |
0.3% | -83.4% | 0.17 | 0.00 | 1.1x | 125 | 18% |
| MACD fast=18, slow=53, signal=22 |
-5.8% | -94.9% | 0.17 | -0.06 | 0.1x | 285 | 56% |
| Parabolic SAR step=0.015, maxStep=0.1 |
-3.7% | -94.3% | 0.16 | -0.04 | 0.3x | 383 | 54% |
| Supertrend period=12, mult=5 |
-8.8% | -99.5% | 0.06 | -0.09 | 0.1x | 123 | 47% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=21, mult=2 |
-8.4% | -98.2% | -0.03 | -0.09 | 0.1x | 179 | 30% |
| Buy and hold | 6.1% | -96.0% | 0.45 | 0.06 | 6.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 49-day EMA crosses above the 270-day EMA
- Sell — Sell when the 49-day EMA falls below the 270-day EMA