Trend-Following Backtester · Guide · backtest 한국어
equity · US
Freeport-McMoRan, Inc. backtest
10 trend-following strategies were compared on the full daily history of Freeport-McMoRan, Inc.. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.1%, MDD -47.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 5.4%, drawdown -94.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.1%, MDD -47.7%, Sharpe 0.47, 34% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 46.4%p (CAGR 9.1%, MDD -47.7%, exposure 34%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=57, k=2.1 |
9.1% | -47.7% | 0.47 | 0.19 | 15.0x | 102 | 34% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=19, mult=3.5 |
6.8% | -55.6% | 0.41 | 0.12 | 7.7x | 86 | 26% |
| EMA 크로스오버 fast=18, slow=57 |
7.6% | -61.9% | 0.39 | 0.12 | 9.8x | 140 | 52% |
| SMA 크로스오버 fast=15, slow=70 |
7.4% | -64.4% | 0.38 | 0.11 | 9.1x | 134 | 52% |
| ROC 모멘텀 n=75, threshold=0.11 |
6.1% | -61.1% | 0.35 | 0.10 | 6.3x | 298 | 36% |
| Donchian 채널 돌파 entryN=33, exitN=33 |
6.3% | -71.4% | 0.35 | 0.09 | 6.8x | 110 | 49% |
| Supertrend period=13, mult=4.9 |
6.3% | -64.1% | 0.35 | 0.10 | 6.7x | 109 | 51% |
| ADX / DI 방향성 period=39, threshold=26 |
2.1% | -23.1% | 0.30 | 0.09 | 1.9x | 12 | 3% |
| MACD fast=15, slow=54, signal=6 |
0.8% | -89.4% | 0.20 | 0.01 | 1.3x | 539 | 52% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-0.9% | -88.8% | 0.14 | -0.01 | 0.8x | 565 | 52% |
| Buy and hold | 5.4% | -94.1% | 0.36 | 0.06 | 5.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 57-day average (2.1× volatility)
- Sell — Sell when the close falls back to the 57-day middle average