Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Catalyst Metals Limited backtest
10 trend-following strategies were compared on the full daily history of Catalyst Metals Limited. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 23.5%, MDD -62.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 15.9%, drawdown -91.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 23.5%, MDD -62.0%, Sharpe 0.64, 50% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 29.6%p (CAGR 23.5%, MDD -62.0%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=52, slow=206 |
23.5% | -62.0% | 0.64 | 0.38 | 68.3x | 22 | 50% |
| SMA 크로스오버 fast=32, slow=169 |
21.3% | -76.5% | 0.63 | 0.28 | 48.0x | 32 | 50% |
| ADX / DI 방향성 period=30, threshold=15 |
9.4% | -71.9% | 0.44 | 0.13 | 6.0x | 110 | 35% |
| Donchian 채널 돌파 entryN=103, exitN=79 |
8.0% | -82.3% | 0.41 | 0.10 | 4.6x | 26 | 47% |
| ROC 모멘텀 n=133, threshold=0.05 |
7.5% | -88.1% | 0.41 | 0.09 | 4.3x | 162 | 46% |
| 볼린저 밴드 돌파 n=49, k=2.4 |
6.3% | -57.9% | 0.35 | 0.11 | 3.4x | 66 | 26% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=25, mult=3.8 |
4.7% | -68.9% | 0.31 | 0.07 | 2.5x | 68 | 24% |
| MACD fast=57, slow=60, signal=41 |
-2.3% | -94.4% | 0.26 | -0.02 | 0.6x | 115 | 52% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-4.2% | -96.6% | 0.21 | -0.04 | 0.4x | 116 | 44% |
| Supertrend period=12, mult=3.6 |
-16.4% | -99.8% | -0.00 | -0.16 | 0.0x | 198 | 52% |
| Buy and hold | 15.9% | -91.7% | 0.57 | 0.17 | 19.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 52-day EMA crosses above the 206-day EMA
- Sell — Sell when the 52-day EMA falls below the 206-day EMA