Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Ero Copper Corp. backtest
10 trend-following strategies were compared on the full daily history of Ero Copper Corp.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 23.9%, MDD -49.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 26.5%, drawdown -62.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 35.4%, MDD -62.2%, Sharpe 0.88, 88% exposure.
Return/drawdown alternative: Supertrend — CAGR is 8.9%p higher than buy and hold, while drawdown improves by 0.5%p (CAGR 23.9%, MDD -49.3%, exposure 57%).
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=8, exitN=70 |
35.4% | -62.2% | 0.88 | 0.57 | 14.3x | 21 | 88% |
| Supertrend period=6, mult=4.2 |
23.9% | -49.3% | 0.76 | 0.49 | 6.6x | 34 | 57% |
| SMA 크로스오버 fast=26, slow=105 |
22.1% | -43.7% | 0.72 | 0.51 | 5.8x | 20 | 60% |
| ROC 모멘텀 n=127, threshold=-0.04 |
19.3% | -44.7% | 0.66 | 0.43 | 4.7x | 46 | 62% |
| Parabolic SAR step=0.025, maxStep=0.14 |
16.4% | -58.2% | 0.60 | 0.28 | 3.8x | 195 | 53% |
| EMA 크로스오버 fast=31, slow=211 |
16.2% | -48.2% | 0.59 | 0.34 | 3.8x | 11 | 62% |
| MACD fast=14, slow=49, signal=19 |
15.3% | -46.5% | 0.58 | 0.33 | 3.5x | 101 | 48% |
| 볼린저 밴드 돌파 n=14, k=0.7 |
13.6% | -55.9% | 0.55 | 0.24 | 3.1x | 187 | 47% |
| ADX / DI 방향성 period=7, threshold=11 |
9.4% | -74.7% | 0.43 | 0.13 | 2.2x | 243 | 54% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=15, mult=2.2 |
2.4% | -35.3% | 0.23 | 0.07 | 1.2x | 36 | 11% |
| Buy and hold | 26.5% | -62.8% | 0.71 | 0.42 | 7.9x | 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 8 days
- Sell — Sell when price breaks below the lowest low of the last 70 days