Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Denison Mines Corp. backtest
10 trend-following strategies were compared on the full daily history of Denison Mines Corp.. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.5%, MDD -39.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.0%, drawdown -97.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.0%, MDD -93.0%, Sharpe 0.39, 60% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 4.9%p (CAGR 4.5%, MDD -39.9%, exposure 2%).
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=16, exitN=26 |
6.0% | -93.0% | 0.39 | 0.06 | 5.4x | 177 | 60% |
| Parabolic SAR step=0.01, maxStep=0.28 |
5.4% | -84.7% | 0.36 | 0.06 | 4.7x | 337 | 45% |
| MACD fast=24, slow=51, signal=21 |
4.5% | -82.7% | 0.36 | 0.05 | 3.6x | 261 | 51% |
| ADX / DI 방향성 period=47, threshold=30 |
4.5% | -39.9% | 0.35 | 0.11 | 3.6x | 2 | 2% |
| SMA 크로스오버 fast=9, slow=37 |
4.4% | -90.5% | 0.35 | 0.05 | 3.5x | 223 | 48% |
| EMA 크로스오버 fast=58, slow=211 |
3.1% | -92.9% | 0.29 | 0.03 | 2.5x | 51 | 45% |
| Supertrend period=14, mult=4.8 |
-4.3% | -94.3% | 0.21 | -0.05 | 0.3x | 105 | 57% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=18, mult=4 |
1.0% | -83.8% | 0.21 | 0.01 | 1.3x | 76 | 20% |
| 볼린저 밴드 돌파 n=58, k=3 |
0.9% | -87.0% | 0.20 | 0.01 | 1.3x | 58 | 17% |
| ROC 모멘텀 n=128, threshold=0 |
-6.5% | -97.1% | 0.11 | -0.07 | 0.1x | 380 | 50% |
| Buy and hold | 5.0% | -97.9% | 0.44 | 0.05 | 4.1x | 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 16 days
- Sell — Sell when price breaks below the lowest low of the last 26 days