Trend-Following Backtester · Guide · backtest 한국어
equity · US
Core Natural Resources, Inc. backtest
10 trend-following strategies were compared on the full daily history of Core Natural Resources, Inc.. 5 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 29.7%, MDD -42.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 18.9%, drawdown -92.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 32.1%, MDD -50.1%, Sharpe 0.86, 54% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 13.2%p higher than buy and hold, while drawdown improves by 42.1%p (CAGR 29.7%, MDD -42.2%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=113, threshold=-0.01 |
32.1% | -50.1% | 0.86 | 0.64 | 11.6x | 51 | 54% |
| EMA 크로스오버 fast=43, slow=91 |
31.1% | -44.9% | 0.85 | 0.69 | 10.8x | 15 | 53% |
| SMA 크로스오버 fast=33, slow=115 |
29.7% | -42.2% | 0.83 | 0.70 | 9.8x | 16 | 53% |
| Donchian 채널 돌파 entryN=88, exitN=76 |
25.6% | -46.8% | 0.75 | 0.55 | 7.4x | 11 | 55% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=29, mult=3.9 |
17.4% | -37.8% | 0.71 | 0.46 | 4.1x | 16 | 19% |
| 볼린저 밴드 돌파 n=45, k=2.4 |
19.4% | -53.9% | 0.69 | 0.36 | 4.7x | 28 | 29% |
| Supertrend period=15, mult=4.3 |
18.3% | -75.0% | 0.59 | 0.24 | 4.4x | 31 | 48% |
| ADX / DI 방향성 period=33, threshold=22 |
8.9% | -38.0% | 0.47 | 0.23 | 2.1x | 20 | 12% |
| MACD fast=22, slow=54, signal=18 |
6.7% | -79.7% | 0.38 | 0.08 | 1.8x | 83 | 53% |
| Parabolic SAR step=0.005, maxStep=0.32 |
1.3% | -85.3% | 0.26 | 0.02 | 1.1x | 73 | 53% |
| Buy and hold | 18.9% | -92.2% | 0.59 | 0.20 | 4.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 113-day return is greater than -1%
- Sell — Sell when the 113-day return drops to -1% or below