Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Hochschild Mining plc backtest
10 trend-following strategies were compared on the full daily history of Hochschild Mining plc. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.0%, MDD -29.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 2.2%, drawdown -93.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.1%, MDD -62.4%, Sharpe 0.58, 49% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 13.9%p higher than buy and hold, while drawdown improves by 31.0%p (CAGR 6.0%, MDD -29.8%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=59, slow=163 |
16.1% | -62.4% | 0.58 | 0.26 | 19.0x | 32 | 49% |
| EMA 크로스오버 fast=50, slow=205 |
11.3% | -58.7% | 0.47 | 0.19 | 8.3x | 24 | 46% |
| ADX / DI 방향성 period=34, threshold=25 |
6.0% | -29.8% | 0.45 | 0.20 | 3.2x | 12 | 6% |
| Donchian 채널 돌파 entryN=109, exitN=58 |
9.0% | -69.4% | 0.42 | 0.13 | 5.5x | 22 | 38% |
| ROC 모멘텀 n=121, threshold=0.08 |
8.8% | -72.5% | 0.42 | 0.12 | 5.3x | 176 | 40% |
| 볼린저 밴드 돌파 n=20, k=3 |
4.9% | -40.0% | 0.36 | 0.12 | 2.6x | 40 | 9% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=8, mult=3 |
4.3% | -65.8% | 0.29 | 0.07 | 2.3x | 56 | 17% |
| Supertrend period=18, mult=2.5 |
3.5% | -87.1% | 0.28 | 0.04 | 2.0x | 170 | 44% |
| MACD fast=6, slow=37, signal=15 |
-1.9% | -81.6% | 0.17 | -0.02 | 0.7x | 375 | 51% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-2.9% | -94.6% | 0.12 | -0.03 | 0.6x | 178 | 47% |
| Buy and hold | 2.2% | -93.4% | 0.32 | 0.02 | 1.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 59-day average price crosses above the 163-day average
- Sell — Sell (to cash) when the 59-day average falls below the 163-day average