Trend-Following Backtester · Guide · backtest 한국어
equity · CN
North Copper Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of North Copper Co., Ltd. Class A. 8 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.5%, MDD -44.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR 2.8%, drawdown -81.8%).
Sharpe leader (same as main): Parabolic SAR — CAGR 7.4%, MDD -73.6%, Sharpe 0.39, 48% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 8.2%p (CAGR 5.5%, MDD -44.6%, exposure 14%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.005, maxStep=0.26 |
7.4% | -73.6% | 0.39 | 0.10 | 8.1x | 210 | 48% |
| 볼린저 밴드 돌파 n=31, k=1.4 |
6.9% | -63.9% | 0.38 | 0.11 | 7.1x | 226 | 36% |
| Donchian 채널 돌파 entryN=103, exitN=8 |
5.5% | -44.6% | 0.37 | 0.12 | 4.8x | 74 | 14% |
| MACD fast=19, slow=58, signal=15 |
5.1% | -66.9% | 0.32 | 0.08 | 4.3x | 313 | 52% |
| Supertrend period=22, mult=2.6 |
5.0% | -70.5% | 0.31 | 0.07 | 4.1x | 240 | 47% |
| SMA 크로스오버 fast=63, slow=158 |
4.8% | -68.2% | 0.31 | 0.07 | 3.9x | 48 | 47% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=18, mult=1.1 |
4.3% | -66.3% | 0.29 | 0.07 | 3.4x | 294 | 36% |
| ROC 모멘텀 n=117, threshold=0.13 |
3.5% | -73.7% | 0.27 | 0.05 | 2.7x | 218 | 32% |
| EMA 크로스오버 fast=24, slow=70 |
2.6% | -71.6% | 0.25 | 0.04 | 2.1x | 94 | 47% |
| ADX / DI 방향성 period=9, threshold=11 |
2.0% | -82.9% | 0.23 | 0.02 | 1.8x | 679 | 53% |
| Buy and hold | 2.8% | -81.8% | 0.29 | 0.03 | 2.2x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots