Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Perpetua Resources Corp. backtest
10 trend-following strategies were compared on the full daily history of Perpetua Resources Corp.. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 10.1%, MDD -24.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.9%, drawdown -95.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 18.5%, MDD -51.7%, Sharpe 0.63, 25% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 20.4%p higher than buy and hold, while drawdown improves by 43.5%p (CAGR 10.1%, MDD -24.5%, exposure 3%).
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=101, exitN=35 |
18.5% | -51.7% | 0.63 | 0.36 | 12.8x | 18 | 25% |
| 볼린저 밴드 돌파 n=18, k=3.5 |
10.1% | -24.5% | 0.61 | 0.41 | 4.3x | 8 | 3% |
| SMA 크로스오버 fast=37, slow=184 |
18.0% | -59.9% | 0.59 | 0.30 | 12.0x | 16 | 35% |
| ROC 모멘텀 n=107, threshold=0.14 |
13.2% | -60.0% | 0.50 | 0.22 | 6.5x | 88 | 29% |
| EMA 크로스오버 fast=33, slow=183 |
12.9% | -72.1% | 0.49 | 0.18 | 6.2x | 16 | 35% |
| ADX / DI 방향성 period=34, threshold=22 |
6.8% | -47.6% | 0.37 | 0.14 | 2.7x | 24 | 13% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=17, mult=4 |
4.7% | -41.6% | 0.30 | 0.11 | 2.0x | 22 | 11% |
| Supertrend period=26, mult=4.3 |
1.4% | -76.2% | 0.27 | 0.02 | 1.2x | 58 | 41% |
| MACD fast=6, slow=15, signal=14 |
-8.4% | -96.9% | 0.07 | -0.09 | 0.3x | 367 | 50% |
| Parabolic SAR step=0.02, maxStep=0.14 |
-8.2% | -92.2% | 0.07 | -0.09 | 0.3x | 281 | 46% |
| Buy and hold | -1.9% | -95.2% | 0.31 | -0.02 | 0.8x | 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 101 days
- Sell — Sell when price breaks below the lowest low of the last 35 days