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 12.8%, MDD -72.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.6%, drawdown -91.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.8%, MDD -72.9%, Sharpe 0.49, 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 12.8%, 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 |
12.8% | -72.9% | 0.49 | 0.18 | 37.6x | 43 | 54% |
| Donchian 채널 돌파 entryN=8, exitN=75 |
9.4% | -90.2% | 0.44 | 0.10 | 14.9x | 91 | 88% |
| 볼린저 밴드 돌파 n=36, k=3.3 |
5.5% | -64.1% | 0.36 | 0.09 | 5.0x | 42 | 11% |
| EMA 크로스오버 fast=59, slow=205 |
5.4% | -90.8% | 0.34 | 0.06 | 4.9x | 41 | 51% |
| Parabolic SAR step=0.01, maxStep=0.16 |
4.4% | -74.2% | 0.32 | 0.06 | 3.7x | 395 | 49% |
| MACD fast=16, slow=29, signal=13 |
2.9% | -85.8% | 0.29 | 0.03 | 2.3x | 413 | 51% |
| Supertrend period=13, mult=2.9 |
1.6% | -75.4% | 0.25 | 0.02 | 1.6x | 209 | 49% |
| ROC 모멘텀 n=107, threshold=-0.02 |
-0.0% | -92.1% | 0.23 | -0.00 | 1.0x | 335 | 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 |
-1.4% | -74.5% | 0.13 | -0.02 | 0.7x | 169 | 35% |
| Buy and hold | 7.6% | -91.7% | 0.44 | 0.08 | 9.1x | 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 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