Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Aris Mining Corp backtest
10 trend-following strategies were compared on the full daily history of Aris Mining Corp. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.6%, MDD -62.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR -20.2%, drawdown -99.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.6%, MDD -62.1%, Sharpe 0.49, 26% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 31.8%p higher than buy and hold, while drawdown improves by 37.8%p (CAGR 11.6%, MDD -62.1%, exposure 26%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=50, exitN=16 |
11.6% | -62.1% | 0.49 | 0.19 | 5.6x | 46 | 26% |
| EMA 크로스오버 fast=55, slow=205 |
10.8% | -66.2% | 0.47 | 0.16 | 5.0x | 11 | 42% |
| 볼린저 밴드 돌파 n=54, k=2.5 |
9.1% | -65.8% | 0.44 | 0.14 | 3.9x | 36 | 23% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=20, mult=2.7 |
7.3% | -66.0% | 0.38 | 0.11 | 3.0x | 48 | 19% |
| Supertrend period=16, mult=5 |
5.4% | -81.6% | 0.33 | 0.07 | 2.3x | 34 | 44% |
| ROC 모멘텀 n=105, threshold=0.07 |
5.4% | -73.7% | 0.33 | 0.07 | 2.3x | 138 | 39% |
| SMA 크로스오버 fast=25, slow=77 |
4.6% | -82.4% | 0.31 | 0.06 | 2.0x | 52 | 44% |
| ADX / DI 방향성 period=23, threshold=15 |
4.4% | -67.3% | 0.30 | 0.07 | 2.0x | 138 | 28% |
| Parabolic SAR step=0.02, maxStep=0.2 |
-9.7% | -92.4% | 0.02 | -0.10 | 0.2x | 299 | 44% |
| MACD fast=17, slow=53, signal=19 |
-25.1% | -99.5% | -0.23 | -0.25 | 0.0x | 173 | 53% |
| Buy and hold | -20.2% | -99.9% | 0.05 | -0.20 | 0.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 50 days
- Sell — Sell when price breaks below the lowest low of the last 16 days