SleepWell Trade

Trend-Following Backtester · Guide · backtest 한국어

equity · CA

Snowline Gold Corp. backtest

10 trend-following strategies were compared on the full daily history of Snowline Gold Corp.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.

Data 2019-06-05 ~ 2026-08-31daily bars 1,817 (7.2 years)Costs 0.5%Venue TSXMonthly snapshot 2026-08-31

Results by strategy

0 of 10 beat buy and hold (CAGR 101.2%, drawdown -64.3%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 53.8%, MDD -68.5%, Sharpe 0.99, 69% exposure.

No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
n=199, threshold=0.06
53.8%-68.5%0.990.7922.6x3769%
볼린저 밴드 돌파
n=44, k=2
35.7%-47.5%0.900.759.1x2935%
SMA 크로스오버
fast=27, slow=62
40.0%-45.0%0.880.8911.4x3356%
Donchian 채널 돌파
entryN=83, exitN=27
38.1%-49.5%0.880.7710.3x1946%
EMA 크로스오버
fast=35, slow=102
37.5%-58.1%0.840.6410.0x1362%
Supertrend
period=7, mult=4.1
34.9%-83.1%0.800.428.7x2760%
MACD
fast=14, slow=46, signal=14
39.2%-67.3%0.730.5811.0x7952%
Parabolic SAR
step=0.005, maxStep=0.32
24.8%-72.1%0.680.345.0x4551%
Keltner 채널 돌파
emaPeriod=53, atrPeriod=13, mult=1.8
-0.6%-77.2%0.25-0.011.0x5343%
ADX / DI 방향성
period=15, threshold=20
-0.4%-81.5%0.25-0.001.0x7937%
Buy and hold101.2%-64.3%0.981.57157.9x1100%
1x 10x 100x 2020 2021 2022 2023 2024 2025 2026 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -17% -34% -51% -69% 2020 2021 2022 2023 2024 2025 2026 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -68.5% (2021-03-17 → 2021-08-24), recovered after 334 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupMore CA assetsAll asset reports

Read next