Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Skeena Resources Limited backtest
10 trend-following strategies were compared on the full daily history of Skeena Resources Limited. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
4 of 10 beat buy and hold (CAGR -2.3%, drawdown -99.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.6%, MDD -89.8%, Sharpe 0.52, 48% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=41, slow=52 |
7.6% | -89.8% | 0.52 | 0.08 | 9.1x | 215 | 48% |
| Donchian 채널 돌파 entryN=140, exitN=46 |
5.3% | -84.1% | 0.39 | 0.06 | 4.8x | 44 | 28% |
| EMA 크로스오버 fast=48, slow=62 |
-1.2% | -97.4% | 0.36 | -0.01 | 0.7x | 73 | 43% |
| 볼린저 밴드 돌파 n=58, k=3 |
0.4% | -89.9% | 0.27 | 0.00 | 1.1x | 56 | 17% |
| ADX / DI 방향성 period=34, threshold=18 |
-6.5% | -93.9% | 0.17 | -0.07 | 0.1x | 100 | 19% |
| ROC 모멘텀 n=137, threshold=-0.07 |
-24.9% | -100.0% | 0.13 | -0.25 | 0.0x | 341 | 51% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=9, mult=4 |
-13.8% | -99.8% | 0.06 | -0.14 | 0.0x | 88 | 18% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-32.2% | -100.0% | 0.05 | -0.32 | 0.0x | 367 | 44% |
| MACD fast=19, slow=58, signal=16 |
-41.8% | -100.0% | 0.01 | -0.42 | 0.0x | 379 | 51% |
| Supertrend period=10, mult=4.7 |
-49.5% | -100.0% | -0.15 | -0.49 | 0.0x | 227 | 58% |
| Buy and hold | -2.3% | -99.6% | 0.67 | -0.02 | 0.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 41-day average price crosses above the 52-day average
- Sell — Sell (to cash) when the 41-day average falls below the 52-day average