Trend-Following Backtester · Guide · backtest 한국어
equity · US
McEwen Inc. backtest
10 trend-following strategies were compared on the full daily history of McEwen Inc.. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
7 of 10 beat buy and hold (CAGR 3.9%, drawdown -99.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.8%, MDD -92.5%, Sharpe 0.56, 44% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=36, slow=84 |
17.8% | -92.5% | 0.56 | 0.19 | 1935.5x | 130 | 44% |
| Supertrend period=10, mult=4.9 |
15.1% | -91.4% | 0.53 | 0.17 | 669.4x | 114 | 46% |
| Donchian 채널 돌파 entryN=83, exitN=59 |
10.0% | -86.2% | 0.45 | 0.12 | 81.8x | 78 | 42% |
| EMA 크로스오버 fast=45, slow=52 |
8.9% | -94.3% | 0.44 | 0.09 | 51.0x | 126 | 43% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=19, mult=2.6 |
9.4% | -89.4% | 0.42 | 0.11 | 63.7x | 144 | 25% |
| ADX / DI 방향성 period=32, threshold=21 |
6.5% | -81.8% | 0.39 | 0.08 | 18.8x | 122 | 24% |
| 볼린저 밴드 돌파 n=40, k=2.5 |
6.5% | -97.7% | 0.36 | 0.07 | 18.4x | 178 | 22% |
| Parabolic SAR step=0.015, maxStep=0.32 |
-3.0% | -99.3% | 0.29 | -0.03 | 0.2x | 652 | 45% |
| ROC 모멘텀 n=80, threshold=0.01 |
-5.5% | -100.0% | 0.22 | -0.06 | 0.1x | 598 | 44% |
| MACD fast=22, slow=30, signal=30 |
-11.3% | -100.0% | 0.20 | -0.11 | 0.0x | 447 | 51% |
| Buy and hold | 3.9% | -99.3% | 0.51 | 0.04 | 5.8x | 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 36-day average price crosses above the 84-day average
- Sell — Sell (to cash) when the 36-day average falls below the 84-day average