Trend-Following Backtester · Guide · backtest 한국어
equity · US
United States Antimony Corporation backtest
10 trend-following strategies were compared on the full daily history of United States Antimony Corporation. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 7.0%, drawdown -96.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.6%, MDD -96.1%, Sharpe 0.50, 50% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 12.0%, MDD -77.2%, exposure 20%.
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=77, slow=101 |
4.6% | -96.1% | 0.50 | 0.05 | 3.3x | 92 | 50% |
| ADX / DI 방향성 period=51, threshold=18 |
12.0% | -77.2% | 0.49 | 0.16 | 20.1x | 40 | 20% |
| EMA 크로스오버 fast=59, slow=181 |
4.8% | -92.4% | 0.47 | 0.05 | 3.5x | 42 | 46% |
| Donchian 채널 돌파 entryN=12, exitN=120 |
-13.5% | -99.9% | 0.46 | -0.14 | 0.0x | 78 | 84% |
| Supertrend period=18, mult=5 |
-19.6% | -100.0% | 0.29 | -0.20 | 0.0x | 90 | 55% |
| Parabolic SAR step=0.005, maxStep=0.4 |
-12.3% | -99.9% | 0.25 | -0.12 | 0.0x | 166 | 42% |
| 볼린저 밴드 돌파 n=64, k=3.4 |
-1.4% | -88.8% | 0.20 | -0.02 | 0.7x | 40 | 14% |
| ROC 모멘텀 n=140, threshold=-0.02 |
-28.6% | -100.0% | 0.07 | -0.29 | 0.0x | 374 | 50% |
| MACD fast=18, slow=56, signal=16 |
-32.4% | -100.0% | 0.06 | -0.32 | 0.0x | 348 | 48% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=11, mult=3.4 |
-14.2% | -99.6% | -0.02 | -0.14 | 0.0x | 72 | 16% |
| Buy and hold | 7.0% | -96.4% | 0.68 | 0.07 | 6.0x | 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 77-day average price crosses above the 101-day average
- Sell — Sell (to cash) when the 77-day average falls below the 101-day average