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.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 17.1%, MDD -64.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 18.4%, drawdown -89.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 21.8%, MDD -77.1%, Sharpe 0.67, 51% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 12.8%p (CAGR 17.1%, 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 |
21.8% | -77.1% | 0.67 | 0.28 | 25.3x | 29 | 51% |
| EMA 크로스오버 fast=55, slow=180 |
21.0% | -73.2% | 0.66 | 0.29 | 22.6x | 17 | 52% |
| Donchian 채널 돌파 entryN=42, exitN=88 |
21.2% | -76.8% | 0.63 | 0.28 | 23.1x | 27 | 66% |
| ROC 모멘텀 n=135, threshold=0.22 |
17.1% | -64.0% | 0.61 | 0.27 | 13.3x | 81 | 32% |
| Supertrend period=8, mult=4.9 |
11.7% | -78.9% | 0.47 | 0.15 | 6.1x | 51 | 54% |
| ADX / DI 방향성 period=39, threshold=12 |
9.3% | -68.1% | 0.42 | 0.14 | 4.3x | 99 | 37% |
| Parabolic SAR step=0.005, maxStep=0.34 |
9.3% | -78.9% | 0.42 | 0.12 | 4.3x | 113 | 47% |
| 볼린저 밴드 돌파 n=47, k=1.7 |
8.4% | -56.8% | 0.40 | 0.15 | 3.7x | 83 | 32% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=12, mult=2.1 |
4.8% | -62.6% | 0.31 | 0.08 | 2.1x | 85 | 26% |
| MACD fast=17, slow=25, signal=18 |
2.7% | -90.1% | 0.28 | 0.03 | 1.5x | 209 | 51% |
| Buy and hold | 18.4% | -89.9% | 0.58 | 0.20 | 15.9x | 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