Trend-Following Backtester · Guide · backtest 한국어
equity · CA
IAMGOLD Corporation backtest
10 trend-following strategies were compared on the full daily history of IAMGOLD Corporation. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.8%, MDD -66.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.3%, drawdown -94.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.8%, MDD -66.1%, Sharpe 0.47, 48% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 5.5%p higher than buy and hold, while drawdown improves by 28.2%p (CAGR 10.8%, MDD -66.1%, exposure 48%).
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=38, slow=468 |
10.8% | -66.1% | 0.47 | 0.16 | 22.0x | 21 | 48% |
| ADX / DI 방향성 period=22, threshold=24 |
3.0% | -52.7% | 0.25 | 0.06 | 2.4x | 78 | 11% |
| SMA 크로스오버 fast=40, slow=132 |
2.1% | -88.5% | 0.24 | 0.02 | 1.9x | 68 | 47% |
| Donchian 채널 돌파 entryN=114, exitN=54 |
2.3% | -84.0% | 0.23 | 0.03 | 2.0x | 43 | 34% |
| ROC 모멘텀 n=195, threshold=0.03 |
0.5% | -89.3% | 0.19 | 0.01 | 1.1x | 247 | 45% |
| Parabolic SAR step=0.01, maxStep=0.2 |
-1.6% | -85.7% | 0.15 | -0.02 | 0.6x | 397 | 49% |
| Supertrend period=25, mult=3.9 |
-1.6% | -85.8% | 0.15 | -0.02 | 0.6x | 161 | 49% |
| MACD fast=8, slow=41, signal=18 |
-3.5% | -90.0% | 0.11 | -0.04 | 0.3x | 475 | 51% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=9, mult=4 |
0.3% | -13.8% | 0.09 | 0.02 | 1.1x | 2 | 0% |
| 볼린저 밴드 돌파 n=51, k=3.5 |
0.3% | -43.7% | 0.09 | 0.01 | 1.1x | 12 | 4% |
| Buy and hold | 5.3% | -94.3% | 0.38 | 0.06 | 4.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 38-day EMA crosses above the 468-day EMA
- Sell — Sell when the 38-day EMA falls below the 468-day EMA