Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Wesdome Gold Mines Ltd. backtest
10 trend-following strategies were compared on the full daily history of Wesdome Gold Mines Ltd.. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.0%, MDD -64.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 7.3%, drawdown -93.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.5%, MDD -68.3%, Sharpe 0.46, 53% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 24.7%p (CAGR 11.0%, MDD -64.2%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=41, slow=213 |
11.5% | -68.3% | 0.46 | 0.17 | 26.2x | 37 | 53% |
| SMA 크로스오버 fast=46, slow=212 |
11.0% | -64.2% | 0.45 | 0.17 | 23.1x | 37 | 55% |
| Donchian 채널 돌파 entryN=72, exitN=71 |
7.3% | -77.0% | 0.38 | 0.09 | 8.3x | 45 | 57% |
| 볼린저 밴드 돌파 n=29, k=2.4 |
0.5% | -84.0% | 0.18 | 0.01 | 1.2x | 153 | 23% |
| MACD fast=22, slow=36, signal=27 |
-3.3% | -95.5% | 0.17 | -0.03 | 0.4x | 301 | 49% |
| Supertrend period=21, mult=4.4 |
-2.6% | -94.9% | 0.17 | -0.03 | 0.4x | 123 | 50% |
| Parabolic SAR step=0.005, maxStep=0.06 |
-2.4% | -96.6% | 0.16 | -0.03 | 0.5x | 217 | 47% |
| ROC 모멘텀 n=133, threshold=0.04 |
-2.9% | -95.9% | 0.14 | -0.03 | 0.4x | 297 | 50% |
| ADX / DI 방향성 period=24, threshold=38 |
0.4% | -15.9% | 0.13 | 0.03 | 1.1x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=23, mult=3.9 |
-2.3% | -81.3% | 0.04 | -0.03 | 0.5x | 67 | 12% |
| Buy and hold | 7.3% | -93.1% | 0.43 | 0.08 | 8.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 41-day EMA crosses above the 213-day EMA
- Sell — Sell when the 41-day EMA falls below the 213-day EMA