Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Elemental Royalty Corporation backtest
10 trend-following strategies were compared on the full daily history of Elemental Royalty Corporation. 8 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.2%, MDD -48.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR -26.3%, drawdown -100.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.9%, MDD -76.0%, Sharpe 0.32, 29% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 31.3%p higher than buy and hold, while drawdown improves by 24.0%p (CAGR 3.2%, MDD -48.0%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=57, slow=239 |
4.9% | -76.0% | 0.32 | 0.07 | 2.0x | 15 | 29% |
| SMA 크로스오버 fast=32, slow=176 |
3.7% | -77.7% | 0.31 | 0.05 | 1.7x | 25 | 35% |
| ADX / DI 방향성 period=17, threshold=37 |
3.2% | -48.0% | 0.23 | 0.07 | 1.6x | 12 | 4% |
| Donchian 채널 돌파 entryN=103, exitN=23 |
-28.9% | -99.9% | 0.02 | -0.29 | 0.0x | 27 | 19% |
| 볼린저 밴드 돌파 n=41, k=3.2 |
-3.3% | -78.1% | 0.00 | -0.04 | 0.6x | 22 | 8% |
| ROC 모멘텀 n=133, threshold=0 |
-14.0% | -95.1% | -0.04 | -0.15 | 0.1x | 153 | 37% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-18.4% | -98.6% | -0.07 | -0.19 | 0.1x | 79 | 38% |
| Supertrend period=28, mult=5 |
-25.2% | -99.5% | -0.16 | -0.25 | 0.0x | 59 | 36% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=27, mult=3.7 |
-10.4% | -94.0% | -0.17 | -0.11 | 0.2x | 29 | 12% |
| MACD fast=23, slow=53, signal=31 |
-56.8% | -100.0% | -0.36 | -0.57 | 0.0x | 127 | 55% |
| Buy and hold | -26.3% | -100.0% | 0.26 | -0.26 | 0.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 57-day EMA crosses above the 239-day EMA
- Sell — Sell when the 57-day EMA falls below the 239-day EMA