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. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 87.7%, drawdown -61.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 89.2%, MDD -54.3%, Sharpe 1.24, 65% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=57, slow=214 |
89.2% | -54.3% | 1.24 | 1.64 | 74.8x | 5 | 65% |
| EMA 크로스오버 fast=75, slow=218 |
86.4% | -58.6% | 1.20 | 1.48 | 67.8x | 5 | 73% |
| ROC 모멘텀 n=200, threshold=0.11 |
79.7% | -52.7% | 1.16 | 1.51 | 52.8x | 9 | 65% |
| ADX / DI 방향성 period=39, threshold=10 |
51.8% | -59.5% | 0.90 | 0.87 | 16.9x | 58 | 64% |
| Keltner 채널 돌파 emaPeriod=97, atrPeriod=10, mult=2.2 |
44.9% | -57.4% | 0.85 | 0.78 | 12.3x | 24 | 53% |
| Donchian 채널 돌파 entryN=88, exitN=74 |
40.5% | -59.7% | 0.83 | 0.68 | 10.0x | 6 | 62% |
| Supertrend period=5, mult=3.4 |
41.2% | -72.0% | 0.80 | 0.57 | 10.3x | 41 | 61% |
| MACD fast=6, slow=27, signal=10 |
36.3% | -64.3% | 0.76 | 0.56 | 8.1x | 157 | 47% |
| Parabolic SAR step=0.045, maxStep=0.36 |
30.6% | -65.8% | 0.70 | 0.47 | 6.1x | 177 | 46% |
| 볼린저 밴드 돌파 n=65, k=1.4 |
22.9% | -82.6% | 0.61 | 0.28 | 4.0x | 38 | 52% |
| Buy and hold | 87.7% | -61.3% | 1.14 | 1.43 | 70.9x | 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 57-day average price crosses above the 214-day average
- Sell — Sell (to cash) when the 57-day average falls below the 214-day average