Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Hemlo Mining Corp backtest
10 trend-following strategies were compared on the full daily history of Hemlo Mining Corp. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
6 of 10 beat buy and hold (CAGR -13.0%, drawdown -100.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR -4.2%, MDD -99.8%, Sharpe 0.47, 47% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR -0.2%, MDD -98.9%, exposure 22%.
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=55, slow=64 |
-4.2% | -99.8% | 0.47 | -0.04 | 0.5x | 114 | 47% |
| Donchian 채널 돌파 entryN=89, exitN=61 |
-10.9% | -99.9% | 0.33 | -0.11 | 0.1x | 43 | 39% |
| ADX / DI 방향성 period=36, threshold=15 |
-0.2% | -98.9% | 0.31 | -0.00 | 1.0x | 74 | 22% |
| Keltner 채널 돌파 emaPeriod=86, atrPeriod=7, mult=3.9 |
-0.3% | -99.3% | 0.31 | -0.00 | 0.9x | 43 | 22% |
| EMA 크로스오버 fast=49, slow=193 |
-3.8% | -99.5% | 0.31 | -0.04 | 0.5x | 25 | 29% |
| 볼린저 밴드 돌파 n=56, k=3 |
-2.7% | -99.4% | 0.24 | -0.03 | 0.6x | 42 | 20% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-25.6% | -100.0% | 0.17 | -0.26 | 0.0x | 189 | 43% |
| Supertrend period=16, mult=5 |
-24.0% | -100.0% | 0.15 | -0.24 | 0.0x | 89 | 38% |
| ROC 모멘텀 n=139, threshold=-0.03 |
-29.7% | -100.0% | 0.15 | -0.30 | 0.0x | 215 | 51% |
| MACD fast=25, slow=40, signal=21 |
-35.2% | -100.0% | 0.10 | -0.35 | 0.0x | 185 | 54% |
| Buy and hold | -13.0% | -100.0% | 0.64 | -0.13 | 0.1x | 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 55-day average price crosses above the 64-day average
- Sell — Sell (to cash) when the 55-day average falls below the 64-day average