Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Orezone Gold Corporation backtest
10 trend-following strategies were compared on the full daily history of Orezone Gold Corporation. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 15.5%, MDD -55.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 12.2%, drawdown -73.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.6%, MDD -65.2%, Sharpe 0.58, 61% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 8.1%p (CAGR 15.5%, MDD -55.3%, exposure 58%).
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=53, exitN=104 |
17.6% | -65.2% | 0.58 | 0.27 | 3.7x | 9 | 61% |
| SMA 크로스오버 fast=24, slow=34 |
15.8% | -58.2% | 0.55 | 0.27 | 3.3x | 72 | 47% |
| EMA 크로스오버 fast=36, slow=218 |
15.5% | -55.3% | 0.54 | 0.28 | 3.2x | 9 | 58% |
| 볼린저 밴드 돌파 n=57, k=1.6 |
12.1% | -55.8% | 0.49 | 0.22 | 2.5x | 34 | 31% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=15, mult=2.8 |
7.4% | -44.5% | 0.38 | 0.17 | 1.8x | 22 | 22% |
| Supertrend period=26, mult=3.3 |
7.2% | -69.1% | 0.37 | 0.10 | 1.7x | 46 | 45% |
| ADX / DI 방향성 period=39, threshold=14 |
5.5% | -58.1% | 0.33 | 0.09 | 1.5x | 34 | 23% |
| ROC 모멘텀 n=144, threshold=0.03 |
3.9% | -64.9% | 0.30 | 0.06 | 1.4x | 63 | 53% |
| MACD fast=19, slow=48, signal=9 |
0.5% | -68.1% | 0.23 | 0.01 | 1.0x | 108 | 48% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-10.0% | -73.9% | -0.03 | -0.14 | 0.4x | 126 | 47% |
| Buy and hold | 12.2% | -73.3% | 0.49 | 0.17 | 2.5x | 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 53 days
- Sell — Sell when price breaks below the lowest low of the last 104 days