Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Talon Metals Corp. backtest
10 trend-following strategies were compared on the full daily history of Talon Metals Corp.. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 25.6%, MDD -60.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR 6.9%, drawdown -98.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 31.3%, MDD -86.9%, Sharpe 0.40, 45% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 24.3%p higher than buy and hold, while drawdown improves by 11.4%p (CAGR 25.6%, MDD -60.0%, exposure 18%).
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=26, slow=48 |
31.3% | -86.9% | 0.40 | 0.36 | 328.8x | 106 | 45% |
| Donchian 채널 돌파 entryN=117, exitN=51 |
22.9% | -90.8% | 0.34 | 0.25 | 81.4x | 30 | 30% |
| EMA 크로스오버 fast=58, slow=110 |
17.8% | -94.6% | 0.33 | 0.19 | 32.9x | 33 | 41% |
| 볼린저 밴드 돌파 n=58, k=2.2 |
21.8% | -94.8% | 0.33 | 0.23 | 66.6x | 62 | 29% |
| ADX / DI 방향성 period=37, threshold=20 |
25.6% | -60.0% | 0.31 | 0.43 | 129.0x | 40 | 18% |
| Keltner 채널 돌파 emaPeriod=65, atrPeriod=23, mult=4 |
17.7% | -97.0% | 0.30 | 0.18 | 31.9x | 56 | 25% |
| ROC 모멘텀 n=117, threshold=-0.01 |
6.4% | -99.2% | 0.30 | 0.06 | 3.8x | 208 | 45% |
| Parabolic SAR step=0.02, maxStep=0.02 |
4.6% | -99.1% | 0.29 | 0.05 | 2.6x | 132 | 40% |
| MACD fast=31, slow=64, signal=31 |
-6.0% | -99.8% | 0.27 | -0.06 | 0.3x | 164 | 53% |
| Supertrend period=25, mult=4.4 |
-5.5% | -99.7% | 0.23 | -0.06 | 0.3x | 108 | 41% |
| Buy and hold | 6.9% | -98.3% | 0.42 | 0.07 | 4.2x | 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 26-day average price crosses above the 48-day average
- Sell — Sell (to cash) when the 26-day average falls below the 48-day average