Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Golden Prospect Precious Metals Limited backtest
10 trend-following strategies were compared on the full daily history of Golden Prospect Precious Metals Limited. 6 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 28.5%, MDD -36.1%).
Results by strategy
6 of 10 beat buy and hold (CAGR 10.6%, drawdown -68.8%).
Sharpe leader (same as main): Parabolic SAR — CAGR 28.5%, MDD -36.1%, Sharpe 1.01, 50% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 17.9%p higher than buy and hold, while drawdown improves by 32.7%p (CAGR 28.5%, MDD -36.1%, exposure 50%).
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=0.035, maxStep=0.34 |
28.5% | -36.1% | 1.01 | 0.79 | 9.3x | 238 | 50% |
| ROC 모멘텀 n=115, threshold=0.04 |
21.4% | -43.0% | 0.81 | 0.50 | 5.6x | 48 | 44% |
| SMA 크로스오버 fast=13, slow=243 |
17.9% | -50.0% | 0.68 | 0.36 | 4.3x | 12 | 49% |
| 볼린저 밴드 돌파 n=14, k=1.5 |
14.2% | -55.6% | 0.66 | 0.26 | 3.3x | 116 | 34% |
| EMA 크로스오버 fast=53, slow=194 |
15.4% | -57.0% | 0.61 | 0.27 | 3.6x | 7 | 49% |
| MACD fast=6, slow=57, signal=19 |
13.4% | -51.4% | 0.59 | 0.26 | 3.1x | 124 | 49% |
| ADX / DI 방향성 period=14, threshold=19 |
10.5% | -46.3% | 0.52 | 0.23 | 2.4x | 130 | 36% |
| Supertrend period=15, mult=2.9 |
8.4% | -65.2% | 0.43 | 0.13 | 2.0x | 52 | 47% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=9, mult=1.1 |
8.0% | -57.7% | 0.42 | 0.14 | 2.0x | 52 | 39% |
| Donchian 채널 돌파 entryN=104, exitN=43 |
8.0% | -51.4% | 0.42 | 0.16 | 2.0x | 10 | 31% |
| Buy and hold | 10.6% | -68.8% | 0.45 | 0.15 | 2.5x | 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