Trend-Following Backtester · Guide · backtest 한국어
equity · CA
B2Gold Corp. backtest
10 trend-following strategies were compared on the full daily history of B2Gold Corp.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.5%, MDD -65.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.7%, drawdown -86.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.5%, MDD -65.0%, Sharpe 0.45, 54% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 21.7%p (CAGR 10.5%, MDD -65.0%, exposure 54%).
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=53, slow=197 |
10.5% | -65.0% | 0.45 | 0.16 | 6.3x | 24 | 54% |
| EMA 크로스오버 fast=56, slow=191 |
6.7% | -69.9% | 0.36 | 0.10 | 3.3x | 27 | 54% |
| ROC 모멘텀 n=171, threshold=0.03 |
5.5% | -76.7% | 0.33 | 0.07 | 2.7x | 159 | 51% |
| Donchian 채널 돌파 entryN=63, exitN=59 |
5.2% | -76.9% | 0.32 | 0.07 | 2.5x | 35 | 53% |
| Supertrend period=10, mult=2.8 |
3.9% | -69.3% | 0.29 | 0.06 | 2.0x | 141 | 49% |
| 볼린저 밴드 돌파 n=34, k=0.8 |
3.3% | -72.0% | 0.27 | 0.05 | 1.8x | 205 | 42% |
| ADX / DI 방향성 period=18, threshold=33 |
2.5% | -36.6% | 0.23 | 0.07 | 1.6x | 22 | 5% |
| Parabolic SAR step=0.03, maxStep=0.36 |
-0.3% | -76.7% | 0.19 | -0.00 | 0.9x | 500 | 50% |
| MACD fast=12, slow=26, signal=6 |
-1.9% | -75.1% | 0.15 | -0.03 | 0.7x | 421 | 51% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=12, mult=1.1 |
-1.0% | -70.3% | 0.14 | -0.01 | 0.8x | 165 | 40% |
| Buy and hold | 7.7% | -86.7% | 0.41 | 0.09 | 4.0x | 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 53-day average price crosses above the 197-day average
- Sell — Sell (to cash) when the 53-day average falls below the 197-day average