Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Kinross Gold Corporation backtest
10 trend-following strategies were compared on the full daily history of Kinross Gold Corporation. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.9%, MDD -47.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 5.3%, drawdown -92.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.9%, MDD -47.6%, Sharpe 0.45, 21% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.2%, MDD -73.1%, exposure 49%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 45.2%p (CAGR 7.9%, MDD -47.6%, exposure 21%).
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=228, exitN=40 |
7.9% | -47.6% | 0.45 | 0.17 | 6.3x | 22 | 21% |
| SMA 크로스오버 fast=42, slow=211 |
9.2% | -73.1% | 0.43 | 0.13 | 8.3x | 28 | 49% |
| EMA 크로스오버 fast=46, slow=193 |
8.2% | -65.4% | 0.40 | 0.13 | 6.7x | 30 | 47% |
| 볼린저 밴드 돌파 n=20, k=3.5 |
1.4% | -17.0% | 0.30 | 0.08 | 1.4x | 4 | 2% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=20, mult=3.1 |
3.8% | -61.4% | 0.28 | 0.06 | 2.5x | 68 | 25% |
| ADX / DI 방향성 period=38, threshold=16 |
3.1% | -48.8% | 0.26 | 0.06 | 2.1x | 68 | 15% |
| ROC 모멘텀 n=87, threshold=0.02 |
2.8% | -88.3% | 0.25 | 0.03 | 1.9x | 244 | 48% |
| Parabolic SAR step=0.01, maxStep=0.3 |
-2.4% | -85.2% | 0.11 | -0.03 | 0.6x | 334 | 49% |
| Supertrend period=16, mult=4 |
-4.0% | -93.8% | 0.04 | -0.04 | 0.4x | 120 | 44% |
| MACD fast=14, slow=61, signal=24 |
-5.9% | -94.1% | 0.00 | -0.06 | 0.2x | 265 | 50% |
| Buy and hold | 5.3% | -92.7% | 0.35 | 0.06 | 3.4x | 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 228 days
- Sell — Sell when price breaks below the lowest low of the last 40 days