Trend-Following Backtester · Guide · backtest 한국어

equity · CA

Agnico Eagle Mines Limited backtest

10 trend-following strategies were compared on the full daily history of Agnico Eagle Mines Limited. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.

Data 1995-01-12 ~ 2026-07-31daily bars 7,930 (31.5 years)Costs 0.5%Venue TSXMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 8.7%, drawdown -84.4%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.0%, MDD -27.0%, Sharpe 0.33, 7% exposure.

CAGR reference leader: Donchian 채널 돌파 — CAGR 4.4%, MDD -75.7%, exposure 70%.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ADX / DI 방향성
period=48, threshold=20
3.0%-27.0%0.330.112.5x227%
Donchian 채널 돌파
entryN=13, exitN=30
4.4%-75.7%0.300.063.9x18170%
SMA 크로스오버
fast=41, slow=210
3.8%-70.6%0.280.053.2x5253%
EMA 크로스오버
fast=36, slow=194
3.0%-77.6%0.250.042.5x6255%
Supertrend
period=29, mult=4.4
2.9%-77.4%0.240.042.5x13651%
Keltner 채널 돌파
emaPeriod=55, atrPeriod=13, mult=3.5
1.9%-74.2%0.200.031.8x9427%
MACD
fast=21, slow=59, signal=18
0.9%-81.3%0.190.011.3x30752%
ROC 모멘텀
n=86, threshold=0.06
0.8%-77.3%0.170.011.3x38646%
볼린저 밴드 돌파
n=44, k=1.3
-0.7%-77.5%0.11-0.010.8x23441%
Parabolic SAR
step=0.005, maxStep=0.18
-1.4%-81.5%0.11-0.020.6x27752%
Buy and hold8.7%-84.4%0.410.1014.0x1100%
1x 10x 1996 2000 2004 2008 2012 2016 2020 2024 Donchian 채널 돌파ADX / DI 방향성Buy and hold
ADX / DI 방향성 (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -21% -42% -63% -84% 1996 2000 2004 2008 2012 2016 2020 2024 Buy and holdDonchian 채널 돌파ADX / DI 방향성
ADX / DI 방향성 maximum drawdown -27.0% (2006-05-10 → 2016-06-21), recovered after 6,736 days.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

Read next