Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Ivanhoe Mines Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Ivanhoe Mines Ltd. Class A. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 18.9%, MDD -42.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 6.5%, drawdown -89.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 18.9%, MDD -42.0%, Sharpe 0.67, 52% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 12.5%p higher than buy and hold, while drawdown improves by 47.8%p (CAGR 18.9%, MDD -42.0%, exposure 52%).
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=34, slow=156 |
18.9% | -42.0% | 0.67 | 0.45 | 11.1x | 16 | 52% |
| SMA 크로스오버 fast=23, slow=205 |
18.6% | -42.1% | 0.66 | 0.44 | 10.6x | 20 | 51% |
| Donchian 채널 돌파 entryN=108, exitN=69 |
16.3% | -48.1% | 0.63 | 0.34 | 8.1x | 14 | 43% |
| ROC 모멘텀 n=134, threshold=0.14 |
13.7% | -51.6% | 0.57 | 0.27 | 5.9x | 112 | 37% |
| Keltner 채널 돌파 emaPeriod=140, atrPeriod=17, mult=1.4 |
13.9% | -54.3% | 0.56 | 0.26 | 6.1x | 48 | 45% |
| Supertrend period=18, mult=3.7 |
6.5% | -74.7% | 0.35 | 0.09 | 2.4x | 71 | 51% |
| ADX / DI 방향성 period=38, threshold=14 |
5.9% | -56.6% | 0.35 | 0.10 | 2.2x | 68 | 26% |
| MACD fast=6, slow=59, signal=16 |
4.9% | -61.0% | 0.31 | 0.08 | 1.9x | 227 | 51% |
| 볼린저 밴드 돌파 n=43, k=3.2 |
3.1% | -40.1% | 0.27 | 0.08 | 1.5x | 16 | 10% |
| Parabolic SAR step=0.015, maxStep=0.32 |
-1.9% | -64.2% | 0.13 | -0.03 | 0.8x | 245 | 49% |
| Buy and hold | 6.5% | -89.8% | 0.39 | 0.07 | 2.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 34-day EMA crosses above the 156-day EMA
- Sell — Sell when the 34-day EMA falls below the 156-day EMA