Trend-Following Backtester · Guide · backtest 한국어
equity · US
Equinox Gold Corp. backtest
10 trend-following strategies were compared on the full daily history of Equinox Gold Corp.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 17.7%, drawdown -81.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.1%, MDD -3.8%, Sharpe 0.79, 1% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 13.1%, MDD -56.4%, exposure 63%.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=51, threshold=35 |
4.1% | -3.8% | 0.79 | 1.07 | 1.4x | 2 | 1% |
| 볼린저 밴드 돌파 n=20, k=3.4 |
4.4% | -13.9% | 0.53 | 0.32 | 1.4x | 2 | 2% |
| ROC 모멘텀 n=123, threshold=-0.05 |
13.1% | -56.4% | 0.50 | 0.23 | 2.6x | 62 | 63% |
| Donchian 채널 돌파 entryN=41, exitN=71 |
10.7% | -68.6% | 0.45 | 0.16 | 2.2x | 15 | 62% |
| SMA 크로스오버 fast=52, slow=172 |
8.6% | -65.4% | 0.41 | 0.13 | 1.9x | 12 | 57% |
| Parabolic SAR step=0.02, maxStep=0.34 |
8.2% | -67.9% | 0.40 | 0.12 | 1.8x | 168 | 53% |
| EMA 크로스오버 fast=55, slow=129 |
7.1% | -71.2% | 0.38 | 0.10 | 1.7x | 12 | 57% |
| Keltner 채널 돌파 emaPeriod=6, atrPeriod=23, mult=2.1 |
2.0% | -15.7% | 0.33 | 0.13 | 1.2x | 6 | 2% |
| Supertrend period=20, mult=2.2 |
5.5% | -65.5% | 0.33 | 0.08 | 1.5x | 85 | 51% |
| MACD fast=11, slow=27, signal=15 |
-0.9% | -75.5% | 0.17 | -0.01 | 0.9x | 117 | 51% |
| Buy and hold | 17.7% | -81.1% | 0.57 | 0.22 | 3.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 51-day) is ≥ 35
- Sell — Sell when direction flips or the trend weakens (ADX < 35)