Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Genesis Minerals Limited backtest
10 trend-following strategies were compared on the full daily history of Genesis Minerals Limited. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 28.0%, MDD -78.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 7.9%, drawdown -99.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 28.0%, MDD -78.1%, Sharpe 0.65, 49% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 20.1%p higher than buy and hold, while drawdown improves by 20.9%p (CAGR 28.0%, MDD -78.1%, exposure 49%).
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=22, slow=32 |
28.0% | -78.1% | 0.65 | 0.36 | 110.9x | 175 | 49% |
| Donchian 채널 돌파 entryN=44, exitN=45 |
15.1% | -87.6% | 0.50 | 0.17 | 14.7x | 53 | 51% |
| EMA 크로스오버 fast=47, slow=177 |
11.3% | -80.8% | 0.44 | 0.14 | 7.7x | 27 | 50% |
| Supertrend period=15, mult=5 |
4.9% | -96.6% | 0.37 | 0.05 | 2.5x | 99 | 52% |
| ADX / DI 방향성 period=35, threshold=19 |
0.8% | -92.9% | 0.30 | 0.01 | 1.2x | 56 | 33% |
| ROC 모멘텀 n=30, threshold=-0.04 |
-4.0% | -95.3% | 0.29 | -0.04 | 0.5x | 399 | 60% |
| Parabolic SAR step=0.01, maxStep=0.2 |
-3.9% | -94.3% | 0.23 | -0.04 | 0.5x | 173 | 48% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=31, mult=3.3 |
-0.2% | -84.2% | 0.23 | -0.00 | 1.0x | 69 | 30% |
| 볼린저 밴드 돌파 n=45, k=1.3 |
-6.0% | -86.7% | 0.14 | -0.07 | 0.3x | 141 | 36% |
| MACD fast=19, slow=34, signal=19 |
-17.4% | -99.1% | 0.05 | -0.18 | 0.0x | 239 | 52% |
| Buy and hold | 7.9% | -99.1% | 0.53 | 0.08 | 4.3x | 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 22-day average price crosses above the 32-day average
- Sell — Sell (to cash) when the 22-day average falls below the 32-day average