Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Altius Minerals Corporation backtest
10 trend-following strategies were compared on the full daily history of Altius Minerals Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 13.5%, MDD -66.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.6%, drawdown -87.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.3%, MDD -71.9%, Sharpe 0.58, 60% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 14.5%, MDD -75.0%, exposure 84%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.2%p lower than buy and hold, while drawdown improves by 15.9%p (CAGR 13.5%, MDD -66.2%, exposure 62%).
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=44, slow=119 |
14.3% | -71.9% | 0.58 | 0.20 | 22.9x | 51 | 60% |
| EMA 크로스오버 fast=32, slow=91 |
13.5% | -66.2% | 0.55 | 0.20 | 19.1x | 51 | 62% |
| ROC 모멘텀 n=78, threshold=-0.13 |
14.5% | -75.0% | 0.55 | 0.19 | 23.5x | 163 | 84% |
| Donchian 채널 돌파 entryN=42, exitN=41 |
11.9% | -73.8% | 0.52 | 0.16 | 13.9x | 63 | 56% |
| ADX / DI 방향성 period=37, threshold=8 |
9.4% | -76.7% | 0.44 | 0.12 | 8.2x | 229 | 59% |
| Supertrend period=16, mult=4.4 |
8.6% | -78.5% | 0.42 | 0.11 | 6.8x | 89 | 59% |
| 볼린저 밴드 돌파 n=50, k=2.6 |
6.1% | -42.0% | 0.37 | 0.14 | 4.0x | 72 | 30% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=9, mult=2.1 |
4.8% | -72.9% | 0.31 | 0.07 | 3.0x | 110 | 43% |
| Parabolic SAR step=0.01, maxStep=0.32 |
2.0% | -82.5% | 0.22 | 0.02 | 1.6x | 298 | 52% |
| MACD fast=11, slow=40, signal=12 |
0.6% | -64.5% | 0.17 | 0.01 | 1.1x | 366 | 49% |
| Buy and hold | 16.6% | -87.8% | 0.57 | 0.19 | 35.8x | 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 44-day average price crosses above the 119-day average
- Sell — Sell (to cash) when the 44-day average falls below the 119-day average