Trend-Following Backtester · Guide · backtest 한국어
equity · US
Southern Copper Corporation backtest
10 trend-following strategies were compared on the full daily history of Southern Copper Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.4%, MDD -49.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.5%, drawdown -80.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.4%, MDD -49.5%, Sharpe 0.62, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 30.9%p (CAGR 14.4%, MDD -49.5%, exposure 56%).
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=33, slow=72 |
14.4% | -49.5% | 0.62 | 0.29 | 61.8x | 97 | 56% |
| EMA 크로스오버 fast=11, slow=91 |
13.8% | -47.5% | 0.60 | 0.29 | 51.9x | 115 | 58% |
| Supertrend period=14, mult=5 |
12.9% | -56.0% | 0.57 | 0.23 | 41.2x | 93 | 54% |
| Donchian 채널 돌파 entryN=27, exitN=58 |
13.1% | -60.8% | 0.54 | 0.22 | 43.4x | 81 | 71% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=28, mult=2.6 |
8.8% | -48.6% | 0.49 | 0.18 | 13.2x | 129 | 34% |
| ROC 모멘텀 n=79, threshold=0.12 |
9.0% | -50.3% | 0.48 | 0.18 | 14.1x | 271 | 35% |
| 볼린저 밴드 돌파 n=57, k=1.5 |
9.3% | -55.6% | 0.48 | 0.17 | 15.1x | 149 | 41% |
| ADX / DI 방향성 period=21, threshold=46 |
2.2% | -12.4% | 0.41 | 0.17 | 1.9x | 4 | 1% |
| MACD fast=23, slow=46, signal=13 |
2.2% | -88.4% | 0.22 | 0.03 | 2.0x | 381 | 51% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-0.4% | -78.8% | 0.13 | -0.01 | 0.9x | 555 | 52% |
| Buy and hold | 15.5% | -80.5% | 0.55 | 0.19 | 82.7x | 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 33-day average price crosses above the 72-day average
- Sell — Sell (to cash) when the 33-day average falls below the 72-day average