Trend-Following Backtester · Guide · backtest 한국어
equity · US
Almonty Industries Inc. backtest
10 trend-following strategies were compared on the full daily history of Almonty Industries Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 38.9%, drawdown -85.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 21.2%, MDD -68.6%, Sharpe 0.62, 48% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=27, slow=123 |
21.2% | -68.6% | 0.62 | 0.31 | 12.6x | 28 | 48% |
| EMA 크로스오버 fast=21, slow=189 |
18.6% | -63.0% | 0.58 | 0.30 | 9.5x | 21 | 45% |
| Donchian 채널 돌파 entryN=146, exitN=54 |
15.0% | -57.9% | 0.53 | 0.26 | 6.3x | 16 | 39% |
| ROC 모멘텀 n=96, threshold=0.05 |
13.8% | -80.9% | 0.51 | 0.17 | 5.5x | 108 | 43% |
| MACD fast=19, slow=59, signal=17 |
10.1% | -70.8% | 0.44 | 0.14 | 3.5x | 135 | 51% |
| 볼린저 밴드 돌파 n=49, k=3 |
8.6% | -57.7% | 0.40 | 0.15 | 3.0x | 30 | 19% |
| Parabolic SAR step=0.015, maxStep=0.1 |
3.0% | -87.0% | 0.32 | 0.03 | 1.5x | 147 | 50% |
| Keltner 채널 돌파 emaPeriod=90, atrPeriod=12, mult=2.9 |
-0.5% | -91.3% | 0.25 | -0.01 | 0.9x | 56 | 37% |
| Supertrend period=21, mult=3.2 |
-1.0% | -90.0% | 0.24 | -0.01 | 0.9x | 141 | 46% |
| ADX / DI 방향성 period=22, threshold=13 |
-1.9% | -92.2% | 0.23 | -0.02 | 0.8x | 161 | 44% |
| Buy and hold | 38.9% | -85.6% | 0.43 | 0.45 | 76.4x | 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 27-day average price crosses above the 123-day average
- Sell — Sell (to cash) when the 27-day average falls below the 123-day average