Trend-Following Backtester · Guide · backtest 한국어
equity · US
AngloGold Ashanti PLC backtest
10 trend-following strategies were compared on the full daily history of AngloGold Ashanti PLC. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.0%, MDD -51.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.8%, drawdown -90.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.0%, MDD -51.3%, Sharpe 0.47, 27% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.3%p higher than buy and hold, while drawdown improves by 39.4%p (CAGR 9.0%, MDD -51.3%, exposure 27%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=113, exitN=28 |
9.0% | -51.3% | 0.47 | 0.18 | 11.3x | 44 | 27% |
| SMA 크로스오버 fast=77, slow=111 |
7.3% | -57.3% | 0.38 | 0.13 | 7.2x | 82 | 50% |
| EMA 크로스오버 fast=88, slow=159 |
3.6% | -74.9% | 0.28 | 0.05 | 2.7x | 33 | 50% |
| 볼린저 밴드 돌파 n=46, k=2.4 |
3.5% | -67.8% | 0.26 | 0.05 | 2.6x | 92 | 25% |
| ADX / DI 방향성 period=27, threshold=15 |
3.5% | -73.0% | 0.26 | 0.05 | 2.6x | 198 | 29% |
| ROC 모멘텀 n=89, threshold=0.11 |
2.8% | -73.4% | 0.24 | 0.04 | 2.1x | 286 | 36% |
| Supertrend period=21, mult=4.6 |
2.3% | -91.2% | 0.23 | 0.03 | 1.9x | 124 | 49% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=9, mult=2.1 |
0.2% | -80.7% | 0.14 | 0.00 | 1.0x | 174 | 30% |
| Parabolic SAR step=0.015, maxStep=0.38 |
-6.9% | -97.6% | -0.04 | -0.07 | 0.1x | 512 | 50% |
| MACD fast=19, slow=59, signal=13 |
-7.5% | -93.8% | -0.05 | -0.08 | 0.1x | 353 | 51% |
| Buy and hold | 4.8% | -90.7% | 0.34 | 0.05 | 3.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 113 days
- Sell — Sell when price breaks below the lowest low of the last 28 days