Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Solaris Resources Inc backtest
10 trend-following strategies were compared on the full daily history of Solaris Resources Inc. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 40.3%, drawdown -84.6%).
Sharpe leader (same as main): Supertrend — CAGR 40.7%, MDD -70.1%, Sharpe 0.96, 59% 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=9, mult=3.7 |
40.7% | -70.1% | 0.96 | 0.58 | 8.1x | 25 | 59% |
| ADX / DI 방향성 period=39, threshold=22 |
20.0% | -21.3% | 0.91 | 0.94 | 3.1x | 4 | 17% |
| ROC 모멘텀 n=57, threshold=0.08 |
27.5% | -50.4% | 0.83 | 0.55 | 4.4x | 80 | 45% |
| Donchian 채널 돌파 entryN=11, exitN=37 |
31.0% | -77.9% | 0.77 | 0.40 | 5.2x | 29 | 75% |
| EMA 크로스오버 fast=59, slow=165 |
23.0% | -49.4% | 0.74 | 0.47 | 3.6x | 5 | 46% |
| 볼린저 밴드 돌파 n=33, k=0.8 |
21.8% | -51.6% | 0.70 | 0.42 | 3.4x | 63 | 47% |
| Parabolic SAR step=0.015, maxStep=0.16 |
23.7% | -52.4% | 0.69 | 0.45 | 3.7x | 105 | 53% |
| SMA 크로스오버 fast=33, slow=130 |
20.7% | -61.5% | 0.67 | 0.34 | 3.2x | 10 | 54% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=18, mult=3.9 |
14.8% | -32.4% | 0.64 | 0.46 | 2.3x | 12 | 24% |
| MACD fast=14, slow=33, signal=19 |
-5.3% | -60.1% | 0.05 | -0.09 | 0.7x | 89 | 46% |
| Buy and hold | 40.3% | -84.6% | 0.85 | 0.48 | 8.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 9-day volatility, 3.7× band
- Sell — Sell when price drops below the trend line (flips down)