Trend-Following Backtester · Guide · backtest 한국어
equity · US
Newmont Corporation backtest
10 trend-following strategies were compared on the full daily history of Newmont Corporation. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.9%, drawdown -78.4%).
Sharpe leader (same as main): Supertrend — CAGR 2.9%, MDD -72.9%, Sharpe 0.24, 53% 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=18, mult=3.8 |
2.9% | -72.9% | 0.24 | 0.04 | 3.8x | 252 | 53% |
| ADX / DI 방향성 period=26, threshold=39 |
0.8% | -13.3% | 0.21 | 0.06 | 1.5x | 4 | 1% |
| MACD fast=24, slow=25, signal=24 |
0.8% | -85.5% | 0.17 | 0.01 | 1.5x | 501 | 52% |
| Donchian 채널 돌파 entryN=10, exitN=30 |
0.2% | -94.9% | 0.17 | 0.00 | 1.1x | 304 | 71% |
| SMA 크로스오버 fast=27, slow=95 |
0.5% | -91.2% | 0.16 | 0.01 | 1.3x | 148 | 53% |
| EMA 크로스오버 fast=48, slow=58 |
-1.0% | -95.2% | 0.11 | -0.01 | 0.6x | 142 | 53% |
| 볼린저 밴드 돌파 n=41, k=2 |
-0.3% | -87.2% | 0.10 | -0.00 | 0.9x | 254 | 32% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=23, mult=4 |
-0.5% | -77.7% | 0.06 | -0.01 | 0.8x | 120 | 21% |
| ROC 모멘텀 n=24, threshold=-0.04 |
-3.3% | -98.1% | 0.05 | -0.03 | 0.2x | 943 | 67% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-4.6% | -96.3% | -0.03 | -0.05 | 0.1x | 801 | 49% |
| Buy and hold | 4.9% | -78.4% | 0.32 | 0.06 | 9.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 18-day volatility, 3.8× band
- Sell — Sell when price drops below the trend line (flips down)