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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 26.3%, MDD -49.3%).

Data 2017-10-19 ~ 2026-08-31daily bars 2,225 (8.9 years)Costs 0.5%Venue TSXMonthly snapshot 2026-08-31

Results by strategy

1 of 10 beat buy and hold (CAGR 30.8%, drawdown -62.8%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 39.9%, MDD -62.2%, Sharpe 0.95, 88% exposure.

Return/drawdown alternative: Supertrend — CAGR is 9.1%p higher than buy and hold, while drawdown improves by 0.5%p (CAGR 26.3%, MDD -49.3%, exposure 58%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=8, exitN=70
39.9%-62.2%0.950.6419.6x2188%
Supertrend
period=6, mult=4.2
26.3%-49.3%0.800.537.9x3558%
SMA 크로스오버
fast=26, slow=105
22.1%-43.7%0.720.515.9x2161%
ROC 모멘텀
n=127, threshold=-0.04
20.0%-44.7%0.680.455.1x4762%
EMA 크로스오버
fast=31, slow=211
20.3%-48.2%0.670.425.1x1162%
MACD
fast=14, slow=49, signal=19
19.3%-46.5%0.670.424.8x10149%
볼린저 밴드 돌파
n=14, k=0.7
17.6%-55.9%0.640.314.2x18748%
Parabolic SAR
step=0.025, maxStep=0.14
18.1%-58.2%0.640.314.4x19753%
ADX / DI 방향성
period=7, threshold=11
13.3%-74.7%0.520.183.0x24354%
Keltner 채널 돌파
emaPeriod=11, atrPeriod=15, mult=2.2
1.1%-35.3%0.150.031.1x3912%
Buy and hold30.8%-62.8%0.770.4910.8x1100%
1x 10x 2018 2020 2022 2024 2026 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -16% -31% -47% -63% 2018 2020 2022 2024 2026 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -62.2% (2021-05-11 → 2022-08-03), recovered after 792 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupMore CA assetsAll asset reports

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