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.
Results by strategy
0 of 10 beat buy and hold (CAGR 95.7%, drawdown -64.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 51.1%, MDD -68.5%, Sharpe 0.96, 68% 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=199, threshold=0.06 |
51.1% | -68.5% | 0.96 | 0.75 | 19.2x | 35 | 68% |
| Donchian 채널 돌파 entryN=83, exitN=27 |
38.2% | -49.5% | 0.88 | 0.77 | 10.1x | 18 | 46% |
| 볼린저 밴드 돌파 n=44, k=2 |
34.0% | -47.5% | 0.87 | 0.71 | 8.1x | 28 | 34% |
| SMA 크로스오버 fast=27, slow=62 |
39.6% | -45.0% | 0.87 | 0.88 | 10.9x | 32 | 55% |
| EMA 크로스오버 fast=35, slow=102 |
37.3% | -58.1% | 0.83 | 0.64 | 9.7x | 12 | 62% |
| Supertrend period=7, mult=4.1 |
30.6% | -83.1% | 0.75 | 0.37 | 6.8x | 27 | 60% |
| MACD fast=14, slow=46, signal=14 |
34.8% | -67.3% | 0.68 | 0.52 | 8.5x | 79 | 51% |
| Parabolic SAR step=0.005, maxStep=0.32 |
20.7% | -72.1% | 0.62 | 0.29 | 3.8x | 45 | 51% |
| ADX / DI 방향성 period=15, threshold=20 |
0.3% | -81.5% | 0.26 | 0.00 | 1.0x | 78 | 36% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=13, mult=1.8 |
-2.2% | -77.2% | 0.22 | -0.03 | 0.9x | 52 | 43% |
| Buy and hold | 95.7% | -64.3% | 0.96 | 1.49 | 122.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 199-day return is greater than 6%
- Sell — Sell when the 199-day return drops to 6% or below