Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Metals Exploration plc backtest
10 trend-following strategies were compared on the full daily history of Metals Exploration plc. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.5%, MDD -53.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 5.7%, drawdown -99.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 14.3%, MDD -59.3%, Sharpe 0.51, 35% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 16.3%, MDD -72.0%, exposure 41%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.6%p higher than buy and hold, while drawdown improves by 39.9%p (CAGR 8.5%, MDD -53.5%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=16, k=1.2 |
14.3% | -59.3% | 0.51 | 0.24 | 18.4x | 264 | 35% |
| Supertrend period=12, mult=2.5 |
14.0% | -74.9% | 0.50 | 0.19 | 17.4x | 180 | 45% |
| Donchian 채널 돌파 entryN=35, exitN=16 |
16.3% | -72.0% | 0.49 | 0.23 | 26.9x | 76 | 41% |
| MACD fast=8, slow=12, signal=13 |
16.3% | -83.8% | 0.48 | 0.19 | 26.8x | 448 | 51% |
| SMA 크로스오버 fast=54, slow=165 |
11.5% | -87.0% | 0.46 | 0.13 | 10.7x | 32 | 45% |
| ROC 모멘텀 n=106, threshold=-0.03 |
12.0% | -83.6% | 0.43 | 0.14 | 11.8x | 168 | 50% |
| ADX / DI 방향성 period=35, threshold=9 |
8.5% | -78.7% | 0.40 | 0.11 | 5.9x | 176 | 46% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=24, mult=3.1 |
8.5% | -53.5% | 0.39 | 0.16 | 5.9x | 48 | 25% |
| EMA 크로스오버 fast=5, slow=31 |
7.6% | -76.7% | 0.38 | 0.10 | 4.9x | 208 | 48% |
| Parabolic SAR step=0.05, maxStep=0.12 |
7.7% | -81.5% | 0.38 | 0.09 | 5.0x | 544 | 44% |
| Buy and hold | 5.7% | -99.3% | 0.42 | 0.06 | 3.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 16-day average (1.2× volatility)
- Sell — Sell when the close falls back to the 16-day middle average