Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Triple Flag Precious Metals Corp. backtest
10 trend-following strategies were compared on the full daily history of Triple Flag Precious Metals Corp.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 22.8%, MDD -27.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 19.8%, drawdown -35.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.8%, MDD -27.6%, Sharpe 0.86, 63% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 8.1%p (CAGR 22.8%, MDD -27.6%, exposure 63%).
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=128 |
22.8% | -27.6% | 0.86 | 0.83 | 2.9x | 8 | 63% |
| ADX / DI 방향성 period=25, threshold=13 |
18.2% | -26.6% | 0.78 | 0.68 | 2.4x | 38 | 47% |
| Donchian 채널 돌파 entryN=23, exitN=70 |
19.9% | -38.0% | 0.76 | 0.52 | 2.6x | 8 | 73% |
| EMA 크로스오버 fast=48, slow=62 |
16.1% | -30.8% | 0.67 | 0.52 | 2.2x | 12 | 62% |
| 볼린저 밴드 돌파 n=51, k=1 |
13.2% | -24.5% | 0.62 | 0.54 | 1.9x | 30 | 47% |
| ROC 모멘텀 n=86, threshold=0.07 |
12.4% | -28.6% | 0.58 | 0.43 | 1.8x | 60 | 49% |
| Supertrend period=17, mult=4 |
12.2% | -27.8% | 0.58 | 0.44 | 1.8x | 22 | 50% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=29, mult=1.5 |
10.2% | -29.2% | 0.51 | 0.35 | 1.7x | 32 | 46% |
| Parabolic SAR step=0.02, maxStep=0.16 |
6.9% | -29.6% | 0.39 | 0.23 | 1.4x | 111 | 53% |
| MACD fast=8, slow=22, signal=7 |
6.4% | -28.5% | 0.37 | 0.22 | 1.4x | 121 | 50% |
| Buy and hold | 19.8% | -35.7% | 0.68 | 0.56 | 2.6x | 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 128-day average
- Sell — Sell (to cash) when the 41-day average falls below the 128-day average