Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Collective Mining Ltd backtest
10 trend-following strategies were compared on the full daily history of Collective Mining Ltd. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 33.0%, MDD -45.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 33.0%, drawdown -77.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 26.0%, MDD -41.6%, Sharpe 0.95, 26% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 45.9%, MDD -65.0%, exposure 75%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.9%p lower than buy and hold, while drawdown improves by 35.6%p (CAGR 33.0%, MDD -45.0%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=34, k=2.5 |
26.0% | -41.6% | 0.95 | 0.63 | 5.7x | 24 | 26% |
| Supertrend period=10, mult=3.4 |
23.7% | -40.6% | 0.74 | 0.58 | 5.0x | 44 | 47% |
| ROC 모멘텀 n=87, threshold=0.01 |
22.2% | -45.5% | 0.72 | 0.49 | 4.5x | 60 | 52% |
| SMA 크로스오버 fast=59, slow=121 |
22.3% | -53.3% | 0.70 | 0.42 | 4.6x | 16 | 56% |
| EMA 크로스오버 fast=31, slow=193 |
22.2% | -50.6% | 0.69 | 0.44 | 4.5x | 8 | 51% |
| Donchian 채널 돌파 entryN=13, exitN=30 |
45.9% | -65.0% | 0.68 | 0.71 | 17.4x | 32 | 75% |
| ADX / DI 방향성 period=36, threshold=34 |
9.8% | -21.2% | 0.66 | 0.46 | 2.0x | 8 | 12% |
| Parabolic SAR step=0.025, maxStep=0.28 |
42.6% | -57.7% | 0.64 | 0.74 | 14.6x | 121 | 50% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=8, mult=1.3 |
33.0% | -45.0% | 0.56 | 0.73 | 8.6x | 40 | 52% |
| MACD fast=19, slow=51, signal=19 |
13.2% | -39.9% | 0.50 | 0.33 | 2.6x | 55 | 50% |
| Buy and hold | 33.0% | -77.1% | 0.60 | 0.43 | 8.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 34-day average (2.5× volatility)
- Sell — Sell when the close falls back to the 34-day middle average