Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Gogold Resources, Inc. backtest
10 trend-following strategies were compared on the full daily history of Gogold Resources, Inc.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 17.0%, MDD -64.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 15.7%, drawdown -89.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.6%, MDD -77.1%, Sharpe 0.63, 51% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 12.8%p (CAGR 17.0%, MDD -64.0%, exposure 32%).
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=78, slow=158 |
19.6% | -77.1% | 0.63 | 0.25 | 18.4x | 28 | 51% |
| ROC 모멘텀 n=135, threshold=0.22 |
17.0% | -64.0% | 0.61 | 0.27 | 12.9x | 80 | 32% |
| EMA 크로스오버 fast=55, slow=180 |
18.2% | -73.2% | 0.60 | 0.25 | 15.2x | 17 | 51% |
| Donchian 채널 돌파 entryN=42, exitN=88 |
18.4% | -76.8% | 0.58 | 0.24 | 15.6x | 27 | 66% |
| ADX / DI 방향성 period=39, threshold=12 |
9.3% | -68.1% | 0.42 | 0.14 | 4.2x | 98 | 37% |
| Supertrend period=8, mult=4.9 |
9.1% | -78.9% | 0.42 | 0.12 | 4.1x | 51 | 54% |
| Parabolic SAR step=0.005, maxStep=0.34 |
8.0% | -78.9% | 0.39 | 0.10 | 3.5x | 112 | 47% |
| 볼린저 밴드 돌파 n=47, k=1.7 |
7.1% | -56.8% | 0.37 | 0.13 | 3.1x | 82 | 32% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=12, mult=2.1 |
3.9% | -62.6% | 0.29 | 0.06 | 1.9x | 84 | 26% |
| MACD fast=17, slow=25, signal=18 |
1.2% | -90.1% | 0.25 | 0.01 | 1.2x | 208 | 51% |
| Buy and hold | 15.7% | -89.9% | 0.54 | 0.17 | 10.7x | 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 78-day average price crosses above the 158-day average
- Sell — Sell (to cash) when the 78-day average falls below the 158-day average