Trend-Following Backtester · Guide · backtest 한국어
equity · CA
K92 Mining, Inc. backtest
10 trend-following strategies were compared on the full daily history of K92 Mining, Inc.. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 26.8%, MDD -60.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 26.2%, drawdown -82.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 26.8%, MDD -60.9%, Sharpe 0.76, 61% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 21.1%p (CAGR 26.8%, MDD -60.9%, exposure 61%).
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=80, slow=108 |
26.8% | -60.9% | 0.76 | 0.44 | 40.2x | 14 | 61% |
| SMA 크로스오버 fast=67, slow=76 |
24.1% | -55.2% | 0.71 | 0.44 | 28.7x | 78 | 50% |
| Parabolic SAR step=0.03, maxStep=0.3 |
20.0% | -70.9% | 0.59 | 0.28 | 17.1x | 273 | 55% |
| ROC 모멘텀 n=122, threshold=0.01 |
15.9% | -70.8% | 0.57 | 0.22 | 9.9x | 92 | 50% |
| Donchian 채널 돌파 entryN=11, exitN=18 |
15.0% | -75.8% | 0.52 | 0.20 | 8.8x | 91 | 75% |
| 볼린저 밴드 돌파 n=55, k=1.6 |
13.3% | -58.4% | 0.52 | 0.23 | 7.0x | 56 | 42% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=26, mult=2.8 |
11.3% | -56.3% | 0.47 | 0.20 | 5.3x | 48 | 41% |
| Supertrend period=5, mult=3.1 |
11.1% | -74.8% | 0.44 | 0.15 | 5.2x | 91 | 59% |
| MACD fast=16, slow=48, signal=19 |
6.4% | -75.9% | 0.35 | 0.08 | 2.6x | 127 | 49% |
| ADX / DI 방향성 period=19, threshold=27 |
5.0% | -50.0% | 0.30 | 0.10 | 2.1x | 46 | 25% |
| Buy and hold | 26.2% | -82.0% | 0.67 | 0.32 | 37.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 80-day EMA crosses above the 108-day EMA
- Sell — Sell when the 80-day EMA falls below the 108-day EMA