Trend-Following Backtester · Guide · backtest 한국어
equity · CA
i-80 Gold Corp backtest
10 trend-following strategies were compared on the full daily history of i-80 Gold Corp. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.4%, MDD -18.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR -5.2%, drawdown -87.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.2%, MDD -25.6%, Sharpe 0.72, 19% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 18.2%, MDD -35.5%, exposure 23%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 21.4%p higher than buy and hold, while drawdown improves by 62.3%p (CAGR 5.4%, MDD -18.7%, exposure 10%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=82, exitN=16 |
16.2% | -25.6% | 0.72 | 0.63 | 2.2x | 8 | 19% |
| 볼린저 밴드 돌파 n=57, k=2.2 |
18.2% | -35.5% | 0.72 | 0.51 | 2.4x | 12 | 23% |
| Keltner 채널 돌파 emaPeriod=62, atrPeriod=28, mult=3.5 |
15.0% | -20.7% | 0.67 | 0.72 | 2.1x | 8 | 20% |
| ADX / DI 방향성 period=16, threshold=34 |
5.4% | -18.7% | 0.37 | 0.29 | 1.3x | 10 | 10% |
| ROC 모멘텀 n=87, threshold=0.08 |
6.0% | -60.6% | 0.34 | 0.10 | 1.4x | 42 | 33% |
| EMA 크로스오버 fast=57, slow=93 |
5.4% | -47.5% | 0.33 | 0.11 | 1.3x | 10 | 39% |
| SMA 크로스오버 fast=49, slow=197 |
2.5% | -58.8% | 0.24 | 0.04 | 1.1x | 8 | 36% |
| Supertrend period=26, mult=4.4 |
-2.7% | -76.2% | 0.15 | -0.04 | 0.9x | 18 | 50% |
| Parabolic SAR step=0.03, maxStep=0.22 |
-10.4% | -66.0% | -0.05 | -0.16 | 0.6x | 148 | 44% |
| MACD fast=9, slow=24, signal=7 |
-13.5% | -72.4% | -0.13 | -0.19 | 0.5x | 119 | 48% |
| Buy and hold | -5.2% | -87.9% | 0.28 | -0.06 | 0.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 82 days
- Sell — Sell when price breaks below the lowest low of the last 16 days