Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Sprott Inc. backtest
10 trend-following strategies were compared on the full daily history of Sprott Inc.. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.7%, MDD -22.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 3.4%, drawdown -82.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 11.1%, MDD -35.1%, Sharpe 0.62, 25% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.7%p higher than buy and hold, while drawdown improves by 47.2%p (CAGR 7.7%, MDD -22.9%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=16, mult=3.3 |
11.1% | -35.1% | 0.62 | 0.32 | 6.7x | 40 | 25% |
| Donchian 채널 돌파 entryN=104, exitN=14 |
9.1% | -38.8% | 0.55 | 0.24 | 4.8x | 44 | 21% |
| ADX / DI 방향성 period=22, threshold=24 |
7.7% | -22.9% | 0.53 | 0.34 | 3.8x | 52 | 15% |
| 볼린저 밴드 돌파 n=56, k=3.2 |
7.0% | -23.7% | 0.52 | 0.29 | 3.4x | 22 | 16% |
| ROC 모멘텀 n=97, threshold=0.13 |
8.5% | -45.6% | 0.47 | 0.19 | 4.3x | 104 | 30% |
| MACD fast=18, slow=58, signal=24 |
8.4% | -67.8% | 0.42 | 0.12 | 4.3x | 160 | 49% |
| EMA 크로스오버 fast=12, slow=74 |
6.1% | -61.5% | 0.35 | 0.10 | 2.9x | 80 | 47% |
| SMA 크로스오버 fast=8, slow=71 |
5.8% | -71.6% | 0.34 | 0.08 | 2.7x | 90 | 48% |
| Supertrend period=6, mult=2.7 |
2.5% | -83.3% | 0.23 | 0.03 | 1.6x | 136 | 50% |
| Parabolic SAR step=0.01, maxStep=0.12 |
1.9% | -79.1% | 0.21 | 0.02 | 1.4x | 232 | 49% |
| Buy and hold | 3.4% | -82.3% | 0.29 | 0.04 | 1.8x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 53-day average + 3.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 53-day average