Trend-Following Backtester · Guide · backtest 한국어
equity · CO
Mineros SA backtest
10 trend-following strategies were compared on the full daily history of Mineros SA. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 22.0%, drawdown -90.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.9%, MDD -92.0%, Sharpe 0.72, 55% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 22.3%, MDD -90.4%, exposure 54%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=64, exitN=60 |
16.9% | -92.0% | 0.72 | 0.18 | 49.3x | 41 | 55% |
| ADX / DI 방향성 period=38, threshold=25 |
8.4% | -56.4% | 0.51 | 0.15 | 7.5x | 52 | 21% |
| ROC 모멘텀 n=96, threshold=-0.03 |
0.9% | -99.2% | 0.41 | 0.01 | 1.2x | 229 | 59% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=15, mult=3.2 |
-0.3% | -99.1% | 0.39 | -0.00 | 0.9x | 93 | 41% |
| 볼린저 밴드 돌파 n=59, k=1.7 |
-0.4% | -99.1% | 0.39 | -0.00 | 0.9x | 85 | 39% |
| EMA 크로스오버 fast=57, slow=175 |
22.1% | -90.4% | 0.34 | 0.24 | 148.7x | 21 | 55% |
| SMA 크로스오버 fast=54, slow=160 |
22.3% | -90.4% | 0.34 | 0.25 | 154.2x | 33 | 54% |
| Parabolic SAR step=0.01, maxStep=0.3 |
3.0% | -92.0% | 0.24 | 0.03 | 2.1x | 231 | 53% |
| MACD fast=18, slow=30, signal=16 |
-8.5% | -97.2% | 0.18 | -0.09 | 0.1x | 349 | 50% |
| Supertrend period=12, mult=4.4 |
-11.6% | -99.4% | 0.09 | -0.12 | 0.0x | 181 | 52% |
| Buy and hold | 22.0% | -90.4% | 0.35 | 0.24 | 145.3x | 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 64 days
- Sell — Sell when price breaks below the lowest low of the last 60 days