Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Vault Minerals Limited backtest
10 trend-following strategies were compared on the full daily history of Vault Minerals Limited. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.1%, MDD -78.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR -1.1%, drawdown -98.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.4%, MDD -84.0%, Sharpe 0.38, 45% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.4%p higher than buy and hold, while drawdown improves by 14.8%p (CAGR 6.1%, MDD -78.6%, exposure 27%).
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=49, slow=159 |
6.4% | -84.0% | 0.38 | 0.08 | 6.3x | 55 | 45% |
| 볼린저 밴드 돌파 n=61, k=2.4 |
6.1% | -78.6% | 0.35 | 0.08 | 5.9x | 85 | 27% |
| EMA 크로스오버 fast=25, slow=68 |
2.3% | -93.0% | 0.31 | 0.02 | 1.9x | 99 | 47% |
| Donchian 채널 돌파 entryN=9, exitN=52 |
-6.6% | -99.4% | 0.30 | -0.07 | 0.1x | 167 | 80% |
| MACD fast=19, slow=66, signal=17 |
-3.3% | -99.1% | 0.28 | -0.03 | 0.4x | 277 | 52% |
| Supertrend period=9, mult=3.5 |
-0.7% | -92.7% | 0.26 | -0.01 | 0.8x | 191 | 49% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-1.8% | -92.1% | 0.23 | -0.02 | 0.6x | 169 | 47% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=19, mult=2.4 |
-4.0% | -96.6% | 0.14 | -0.04 | 0.3x | 131 | 34% |
| ROC 모멘텀 n=116, threshold=0.06 |
-6.5% | -99.1% | 0.13 | -0.07 | 0.1x | 267 | 43% |
| ADX / DI 방향성 period=18, threshold=19 |
-6.5% | -94.9% | 0.10 | -0.07 | 0.1x | 271 | 35% |
| Buy and hold | -1.1% | -98.9% | 0.42 | -0.01 | 0.7x | 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 49-day average price crosses above the 159-day average
- Sell — Sell (to cash) when the 49-day average falls below the 159-day average