Trend-Following Backtester · Guide · backtest 한국어
equity · CA
G Mining Ventures Corp backtest
10 trend-following strategies were compared on the full daily history of G Mining Ventures Corp. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 91.8%, drawdown -61.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 90.5%, MDD -58.6%, Sharpe 1.24, 73% 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=75, slow=218 |
90.5% | -58.6% | 1.24 | 1.55 | 82.8x | 5 | 73% |
| SMA 크로스오버 fast=57, slow=214 |
87.8% | -54.3% | 1.23 | 1.62 | 75.1x | 7 | 64% |
| ROC 모멘텀 n=200, threshold=0.11 |
83.7% | -52.7% | 1.19 | 1.59 | 64.5x | 9 | 66% |
| ADX / DI 방향성 period=39, threshold=10 |
51.1% | -59.5% | 0.90 | 0.86 | 16.9x | 58 | 63% |
| Keltner 채널 돌파 emaPeriod=97, atrPeriod=10, mult=2.2 |
45.0% | -57.4% | 0.86 | 0.78 | 12.8x | 25 | 53% |
| Supertrend period=5, mult=3.4 |
44.8% | -72.0% | 0.84 | 0.62 | 12.6x | 41 | 61% |
| Donchian 채널 돌파 entryN=88, exitN=74 |
39.9% | -59.7% | 0.83 | 0.67 | 10.0x | 6 | 61% |
| MACD fast=6, slow=27, signal=10 |
36.5% | -64.3% | 0.76 | 0.57 | 8.4x | 159 | 47% |
| Parabolic SAR step=0.045, maxStep=0.36 |
32.1% | -65.8% | 0.71 | 0.49 | 6.7x | 179 | 46% |
| 볼린저 밴드 돌파 n=65, k=1.4 |
23.1% | -82.6% | 0.61 | 0.28 | 4.2x | 39 | 52% |
| Buy and hold | 91.8% | -61.3% | 1.17 | 1.50 | 86.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 75-day EMA crosses above the 218-day EMA
- Sell — Sell when the 75-day EMA falls below the 218-day EMA