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. 3 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 27.7%, MDD -25.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 32.3%, drawdown -77.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 27.7%, MDD -25.8%, Sharpe 1.03, 23% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 45.5%, MDD -50.9%, exposure 57%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.6%p lower than buy and hold, while drawdown improves by 51.4%p (CAGR 27.7%, MDD -25.8%, exposure 23%).
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=32, k=2.8 |
27.7% | -25.8% | 1.03 | 1.08 | 6.6x | 18 | 23% |
| Supertrend period=8, mult=3.4 |
26.5% | -40.6% | 0.79 | 0.65 | 6.1x | 44 | 47% |
| ROC 모멘텀 n=74, threshold=0.13 |
22.9% | -36.6% | 0.78 | 0.62 | 4.9x | 50 | 34% |
| SMA 크로스오버 fast=50, slow=171 |
23.2% | -49.0% | 0.72 | 0.47 | 5.0x | 12 | 58% |
| ADX / DI 방향성 period=38, threshold=20 |
13.5% | -27.1% | 0.69 | 0.50 | 2.7x | 18 | 23% |
| Donchian 채널 돌파 entryN=12, exitN=14 |
44.5% | -65.3% | 0.67 | 0.68 | 17.1x | 54 | 66% |
| EMA 크로스오버 fast=61, slow=95 |
45.5% | -50.9% | 0.67 | 0.89 | 18.1x | 8 | 57% |
| Parabolic SAR step=0.025, maxStep=0.3 |
44.4% | -57.7% | 0.66 | 0.77 | 17.0x | 124 | 50% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=9, mult=1.3 |
31.2% | -45.0% | 0.55 | 0.69 | 8.1x | 42 | 52% |
| MACD fast=19, slow=51, signal=19 |
13.3% | -39.9% | 0.51 | 0.33 | 2.6x | 56 | 50% |
| Buy and hold | 32.3% | -77.1% | 0.60 | 0.42 | 8.7x | 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 32-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 32-day middle average