Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Evolution Mining Limited backtest
10 trend-following strategies were compared on the full daily history of Evolution Mining Limited. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.9%, MDD -67.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 11.5%, drawdown -94.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.9%, MDD -67.9%, Sharpe 0.47, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 26.4%p (CAGR 11.9%, MDD -67.9%, exposure 55%).
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=30, slow=97 |
11.9% | -67.9% | 0.47 | 0.18 | 14.9x | 73 | 55% |
| EMA 크로스오버 fast=40, slow=87 |
10.7% | -76.7% | 0.45 | 0.14 | 11.4x | 57 | 55% |
| Donchian 채널 돌파 entryN=20, exitN=61 |
8.1% | -86.1% | 0.41 | 0.09 | 6.5x | 71 | 74% |
| 볼린저 밴드 돌파 n=30, k=1.6 |
7.2% | -73.3% | 0.37 | 0.10 | 5.3x | 179 | 35% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=26, mult=1.7 |
4.9% | -72.6% | 0.32 | 0.07 | 3.1x | 171 | 37% |
| ROC 모멘텀 n=169, threshold=0.28 |
4.9% | -70.9% | 0.31 | 0.07 | 3.2x | 148 | 32% |
| Supertrend period=24, mult=4.3 |
3.8% | -82.1% | 0.30 | 0.05 | 2.4x | 119 | 50% |
| MACD fast=17, slow=57, signal=22 |
-1.0% | -94.6% | 0.21 | -0.01 | 0.8x | 267 | 50% |
| ADX / DI 방향성 period=18, threshold=34 |
2.0% | -44.6% | 0.19 | 0.04 | 1.6x | 38 | 5% |
| Parabolic SAR step=0.015, maxStep=0.08 |
-5.5% | -94.6% | 0.10 | -0.06 | 0.3x | 339 | 49% |
| Buy and hold | 11.5% | -94.3% | 0.49 | 0.12 | 13.6x | 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 30-day average price crosses above the 97-day average
- Sell — Sell (to cash) when the 30-day average falls below the 97-day average