Trend-Following Backtester · Guide · backtest 한국어
equity · US
SSR Mining Inc. backtest
10 trend-following strategies were compared on the full daily history of SSR Mining Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.4%, MDD -72.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.3%, drawdown -91.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.4%, MDD -72.9%, Sharpe 0.46, 54% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 18.7%p (CAGR 11.4%, MDD -72.9%, exposure 54%).
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=94, slow=177 |
11.4% | -72.9% | 0.46 | 0.16 | 25.6x | 43 | 54% |
| Donchian 채널 돌파 entryN=8, exitN=75 |
8.0% | -90.2% | 0.42 | 0.09 | 10.1x | 91 | 88% |
| 볼린저 밴드 돌파 n=36, k=3.3 |
5.5% | -64.1% | 0.37 | 0.09 | 5.0x | 42 | 11% |
| EMA 크로스오버 fast=59, slow=205 |
4.1% | -90.8% | 0.31 | 0.04 | 3.3x | 41 | 51% |
| Parabolic SAR step=0.01, maxStep=0.16 |
3.9% | -74.2% | 0.30 | 0.05 | 3.1x | 394 | 49% |
| MACD fast=16, slow=29, signal=13 |
2.0% | -85.8% | 0.27 | 0.02 | 1.8x | 412 | 51% |
| Supertrend period=13, mult=2.9 |
1.0% | -75.4% | 0.23 | 0.01 | 1.4x | 208 | 49% |
| ROC 모멘텀 n=107, threshold=-0.02 |
-0.5% | -92.1% | 0.22 | -0.01 | 0.9x | 332 | 57% |
| ADX / DI 방향성 period=14, threshold=33 |
0.9% | -55.3% | 0.14 | 0.02 | 1.3x | 100 | 8% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=28, mult=1.8 |
-1.9% | -74.5% | 0.12 | -0.03 | 0.6x | 168 | 35% |
| Buy and hold | 6.3% | -91.7% | 0.42 | 0.07 | 6.2x | 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 94-day average price crosses above the 177-day average
- Sell — Sell (to cash) when the 94-day average falls below the 177-day average