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 37.9%, drawdown -84.6%).
Sharpe leader (same as main): Supertrend — CAGR 41.9%, MDD -70.1%, Sharpe 0.97, 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 |
41.9% | -70.1% | 0.97 | 0.60 | 8.3x | 24 | 59% |
| ADX / DI 방향성 period=39, threshold=22 |
20.3% | -21.3% | 0.92 | 0.96 | 3.1x | 4 | 17% |
| ROC 모멘텀 n=57, threshold=0.08 |
27.9% | -50.4% | 0.84 | 0.55 | 4.4x | 80 | 45% |
| Donchian 채널 돌파 entryN=11, exitN=37 |
30.3% | -77.9% | 0.76 | 0.39 | 5.0x | 28 | 75% |
| EMA 크로스오버 fast=59, slow=165 |
23.0% | -49.4% | 0.74 | 0.46 | 3.5x | 3 | 46% |
| 볼린저 밴드 돌파 n=33, k=0.8 |
22.6% | -51.6% | 0.71 | 0.44 | 3.4x | 62 | 47% |
| SMA 크로스오버 fast=33, slow=130 |
21.0% | -61.5% | 0.67 | 0.34 | 3.2x | 10 | 54% |
| Parabolic SAR step=0.015, maxStep=0.16 |
23.0% | -49.6% | 0.67 | 0.46 | 3.5x | 104 | 52% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=18, mult=3.9 |
15.0% | -32.4% | 0.65 | 0.46 | 2.3x | 12 | 24% |
| MACD fast=14, slow=33, signal=19 |
-7.4% | -60.1% | -0.00 | -0.12 | 0.6x | 89 | 45% |
| Buy and hold | 37.9% | -84.6% | 0.83 | 0.45 | 7.0x | 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)