Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Anglo Asian Mining PLC backtest
10 trend-following strategies were compared on the full daily history of Anglo Asian Mining PLC. 6 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.3%, MDD -48.6%).
Results by strategy
6 of 10 beat buy and hold (CAGR 7.2%, drawdown -97.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 27.6%, MDD -60.1%, Sharpe 0.74, 47% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 20.4%p higher than buy and hold, while drawdown improves by 37.7%p (CAGR 7.3%, MDD -48.6%, exposure 16%).
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=35, slow=120 |
27.6% | -60.1% | 0.74 | 0.46 | 165.9x | 27 | 47% |
| SMA 크로스오버 fast=22, slow=157 |
24.1% | -64.2% | 0.68 | 0.37 | 92.5x | 39 | 48% |
| Donchian 채널 돌파 entryN=112, exitN=22 |
18.2% | -54.4% | 0.63 | 0.33 | 33.4x | 30 | 26% |
| ROC 모멘텀 n=153, threshold=0.04 |
17.5% | -78.9% | 0.56 | 0.22 | 29.3x | 149 | 48% |
| Supertrend period=19, mult=4.2 |
10.8% | -89.3% | 0.45 | 0.12 | 8.6x | 67 | 49% |
| ADX / DI 방향성 period=39, threshold=22 |
6.7% | -48.0% | 0.38 | 0.14 | 3.9x | 21 | 9% |
| 볼린저 밴드 돌파 n=52, k=3.4 |
7.3% | -48.6% | 0.37 | 0.15 | 4.4x | 36 | 16% |
| Parabolic SAR step=0.015, maxStep=0.3 |
4.2% | -84.0% | 0.34 | 0.05 | 2.4x | 342 | 48% |
| MACD fast=22, slow=39, signal=17 |
3.2% | -93.9% | 0.34 | 0.03 | 1.9x | 218 | 48% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=27, mult=2.6 |
4.3% | -63.0% | 0.29 | 0.07 | 2.4x | 64 | 11% |
| Buy and hold | 7.2% | -97.8% | 0.47 | 0.07 | 4.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 35-day EMA crosses above the 120-day EMA
- Sell — Sell when the 35-day EMA falls below the 120-day EMA