Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Wheaton Precious Metals Corp backtest
10 trend-following strategies were compared on the full daily history of Wheaton Precious Metals Corp. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 20.1%, MDD -62.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 18.5%, drawdown -83.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 20.1%, MDD -62.2%, Sharpe 0.70, 68% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 21.0%p (CAGR 20.1%, MDD -62.2%, exposure 68%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=15, exitN=31 |
20.1% | -62.2% | 0.70 | 0.32 | 52.5x | 96 | 68% |
| MACD fast=22, slow=66, signal=19 |
14.2% | -46.1% | 0.58 | 0.31 | 17.7x | 191 | 53% |
| Supertrend period=10, mult=4.3 |
14.0% | -65.0% | 0.57 | 0.21 | 17.0x | 88 | 56% |
| EMA 크로스오버 fast=55, slow=94 |
14.2% | -69.3% | 0.57 | 0.20 | 17.7x | 38 | 62% |
| SMA 크로스오버 fast=23, slow=87 |
13.3% | -57.3% | 0.55 | 0.23 | 15.0x | 78 | 59% |
| 볼린저 밴드 돌파 n=43, k=0.9 |
12.3% | -48.4% | 0.55 | 0.25 | 12.3x | 174 | 48% |
| ROC 모멘텀 n=84, threshold=-0.04 |
11.2% | -79.4% | 0.49 | 0.14 | 10.0x | 212 | 69% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=9, mult=1.4 |
9.3% | -49.1% | 0.46 | 0.19 | 6.9x | 166 | 47% |
| ADX / DI 방향성 period=27, threshold=14 |
4.9% | -46.7% | 0.31 | 0.10 | 2.8x | 188 | 36% |
| Parabolic SAR step=0.015, maxStep=0.3 |
3.4% | -63.9% | 0.26 | 0.05 | 2.1x | 403 | 53% |
| Buy and hold | 18.5% | -83.2% | 0.60 | 0.22 | 39.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 15 days
- Sell — Sell when price breaks below the lowest low of the last 31 days