Trend-Following Backtester · Guide · backtest 한국어
equity · US
Perpetua Resources Corp. backtest
10 trend-following strategies were compared on the full daily history of Perpetua Resources Corp.. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 31.5%, MDD -36.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR 22.4%, drawdown -81.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 42.8%, MDD -46.3%, Sharpe 0.93, 50% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 20.3%p higher than buy and hold, while drawdown improves by 35.5%p (CAGR 31.5%, MDD -36.9%, exposure 46%).
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=9, slow=185 |
42.8% | -46.3% | 0.93 | 0.92 | 7.2x | 6 | 50% |
| Donchian 채널 돌파 entryN=83, exitN=31 |
39.4% | -39.8% | 0.92 | 0.99 | 6.3x | 6 | 42% |
| EMA 크로스오버 fast=27, slow=112 |
39.3% | -47.0% | 0.89 | 0.84 | 6.3x | 6 | 48% |
| ROC 모멘텀 n=127, threshold=0.01 |
37.0% | -47.0% | 0.85 | 0.79 | 5.7x | 24 | 51% |
| ADX / DI 방향성 period=50, threshold=9 |
31.5% | -36.9% | 0.79 | 0.85 | 4.5x | 28 | 46% |
| Parabolic SAR step=0.05, maxStep=0.26 |
26.6% | -59.0% | 0.72 | 0.45 | 3.7x | 202 | 49% |
| MACD fast=6, slow=25, signal=4 |
26.3% | -72.5% | 0.71 | 0.36 | 3.6x | 184 | 50% |
| Supertrend period=12, mult=4.5 |
20.1% | -66.8% | 0.60 | 0.30 | 2.8x | 19 | 60% |
| 볼린저 밴드 돌파 n=33, k=3.3 |
4.8% | -29.6% | 0.31 | 0.16 | 1.3x | 10 | 10% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=20, mult=3.7 |
4.8% | -37.1% | 0.30 | 0.13 | 1.3x | 12 | 14% |
| Buy and hold | 22.4% | -81.8% | 0.64 | 0.27 | 3.1x | 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 9-day average price crosses above the 185-day average
- Sell — Sell (to cash) when the 9-day average falls below the 185-day average