Trend-Following Backtester · Guide · backtest 한국어
equity · US
Gold Royalty Corp. backtest
10 trend-following strategies were compared on the full daily history of Gold Royalty Corp.. 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 6.5%, MDD -10.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR -5.8%, drawdown -82.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 23.8%, MDD -39.5%, Sharpe 0.79, 33% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 29.7%p higher than buy and hold, while drawdown improves by 42.9%p (CAGR 6.5%, MDD -10.2%, exposure 3%).
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=57, slow=125 |
23.8% | -39.5% | 0.79 | 0.60 | 3.2x | 10 | 33% |
| Donchian 채널 돌파 entryN=80, exitN=32 |
17.7% | -39.5% | 0.71 | 0.45 | 2.4x | 4 | 24% |
| ADX / DI 방향성 period=30, threshold=28 |
6.5% | -10.2% | 0.68 | 0.64 | 1.4x | 2 | 3% |
| EMA 크로스오버 fast=49, slow=113 |
15.4% | -39.7% | 0.59 | 0.39 | 2.2x | 6 | 33% |
| ROC 모멘텀 n=120, threshold=0.14 |
12.6% | -32.0% | 0.57 | 0.39 | 1.9x | 24 | 22% |
| Supertrend period=18, mult=4.7 |
12.0% | -60.2% | 0.49 | 0.20 | 1.8x | 10 | 44% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=18, mult=3.2 |
6.3% | -24.0% | 0.39 | 0.26 | 1.4x | 10 | 14% |
| 볼린저 밴드 돌파 n=54, k=2.1 |
7.1% | -34.0% | 0.38 | 0.21 | 1.4x | 16 | 24% |
| MACD fast=23, slow=44, signal=24 |
-7.2% | -57.5% | 0.00 | -0.12 | 0.7x | 47 | 47% |
| Parabolic SAR step=0.055, maxStep=0.26 |
-22.0% | -83.7% | -0.41 | -0.26 | 0.3x | 201 | 47% |
| Buy and hold | -5.8% | -82.4% | 0.19 | -0.07 | 0.7x | 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 57-day average price crosses above the 125-day average
- Sell — Sell (to cash) when the 57-day average falls below the 125-day average