Trend-Following Backtester · Guide · backtest 한국어
equity · US
Uranium Royalty Corp. backtest
10 trend-following strategies were compared on the full daily history of Uranium Royalty Corp.. 4 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 8.6%, MDD -45.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 0.8%, drawdown -74.6%).
Sharpe leader (same as main): MACD — CAGR 8.6%, MDD -45.6%, Sharpe 0.41, 49% exposure.
Return/drawdown alternative: MACD — CAGR is 7.8%p higher than buy and hold, while drawdown improves by 28.9%p (CAGR 8.6%, MDD -45.6%, exposure 49%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=8, slow=36, signal=15 |
8.6% | -45.6% | 0.41 | 0.19 | 1.5x | 79 | 49% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=29, mult=3.3 |
6.0% | -45.9% | 0.34 | 0.13 | 1.4x | 12 | 19% |
| 볼린저 밴드 돌파 n=31, k=1.2 |
1.8% | -55.6% | 0.26 | 0.03 | 1.1x | 51 | 35% |
| SMA 크로스오버 fast=58, slow=146 |
0.5% | -48.5% | 0.22 | 0.01 | 1.0x | 10 | 35% |
| Donchian 채널 돌파 entryN=79, exitN=16 |
0.9% | -45.8% | 0.19 | 0.02 | 1.0x | 12 | 17% |
| Supertrend period=11, mult=2 |
-2.5% | -58.8% | 0.19 | -0.04 | 0.9x | 57 | 43% |
| ROC 모멘텀 n=93, threshold=0.05 |
-3.8% | -66.6% | 0.14 | -0.06 | 0.8x | 54 | 36% |
| EMA 크로스오버 fast=8, slow=209 |
-2.1% | -46.5% | 0.14 | -0.05 | 0.9x | 14 | 35% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-10.6% | -63.5% | 0.02 | -0.17 | 0.6x | 95 | 46% |
| ADX / DI 방향성 period=13, threshold=32 |
-2.6% | -33.0% | 0.02 | -0.08 | 0.9x | 18 | 7% |
| Buy and hold | 0.8% | -74.6% | 0.36 | 0.01 | 1.0x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (8/36) crosses above its 15-day signal line
- Sell — Sell when the MACD line crosses back below the signal line