Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Artemis Gold Inc backtest
10 trend-following strategies were compared on the full daily history of Artemis Gold Inc. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 58.0%, MDD -32.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 67.2%, drawdown -54.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 54.8%, MDD -47.0%, Sharpe 1.20, 58% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 58.0%, MDD -32.5%, exposure 70%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 12.4%p lower than buy and hold, while drawdown improves by 7.3%p (CAGR 58.0%, MDD -32.5%, exposure 70%).
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=110, exitN=46 |
54.8% | -47.0% | 1.20 | 1.17 | 19.8x | 6 | 58% |
| ADX / DI 방향성 period=46, threshold=10 |
58.0% | -32.5% | 1.16 | 1.78 | 22.7x | 36 | 70% |
| EMA 크로스오버 fast=51, slow=156 |
54.5% | -38.1% | 1.13 | 1.43 | 19.5x | 8 | 69% |
| SMA 크로스오버 fast=20, slow=126 |
53.0% | -42.6% | 1.11 | 1.24 | 18.2x | 14 | 69% |
| ROC 모멘텀 n=131, threshold=-0.06 |
54.4% | -51.7% | 1.11 | 1.05 | 19.5x | 42 | 76% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=16, mult=3 |
38.6% | -47.8% | 0.99 | 0.81 | 9.3x | 18 | 46% |
| Supertrend period=12, mult=3.8 |
36.7% | -63.4% | 0.87 | 0.58 | 8.4x | 25 | 70% |
| 볼린저 밴드 돌파 n=54, k=3.1 |
28.0% | -32.5% | 0.86 | 0.86 | 5.4x | 12 | 23% |
| Parabolic SAR step=0.02, maxStep=0.24 |
11.9% | -65.6% | 0.47 | 0.18 | 2.2x | 146 | 53% |
| MACD fast=19, slow=52, signal=22 |
8.9% | -69.6% | 0.40 | 0.13 | 1.8x | 83 | 51% |
| Buy and hold | 67.2% | -54.3% | 1.16 | 1.24 | 33.5x | 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 110 days
- Sell — Sell when price breaks below the lowest low of the last 46 days