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. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 18.6%, MDD -55.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 15.3%, drawdown -73.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 20.7%, MDD -65.2%, Sharpe 0.63, 61% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 8.1%p (CAGR 18.6%, 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 |
20.7% | -65.2% | 0.63 | 0.32 | 4.6x | 9 | 61% |
| EMA 크로스오버 fast=36, slow=218 |
18.6% | -55.3% | 0.60 | 0.34 | 4.0x | 9 | 58% |
| SMA 크로스오버 fast=24, slow=34 |
15.2% | -58.2% | 0.54 | 0.26 | 3.2x | 75 | 47% |
| 볼린저 밴드 돌파 n=57, k=1.6 |
12.5% | -55.8% | 0.50 | 0.22 | 2.6x | 35 | 31% |
| Supertrend period=26, mult=3.3 |
7.6% | -69.1% | 0.38 | 0.11 | 1.8x | 47 | 46% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=15, mult=2.8 |
6.9% | -44.5% | 0.37 | 0.16 | 1.7x | 23 | 23% |
| ROC 모멘텀 n=144, threshold=0.03 |
6.2% | -64.9% | 0.36 | 0.10 | 1.6x | 65 | 53% |
| ADX / DI 방향성 period=39, threshold=14 |
5.4% | -58.1% | 0.32 | 0.09 | 1.5x | 34 | 23% |
| MACD fast=19, slow=48, signal=9 |
1.3% | -68.1% | 0.25 | 0.02 | 1.1x | 109 | 49% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-8.3% | -73.9% | 0.02 | -0.11 | 0.5x | 127 | 48% |
| Buy and hold | 15.3% | -73.3% | 0.53 | 0.21 | 3.2x | 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