Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Faraday Copper Corp backtest
10 trend-following strategies were compared on the full daily history of Faraday Copper Corp. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 43.6%, MDD -56.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 55.5%, drawdown -78.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 41.5%, MDD -50.6%, Sharpe 0.95, 35% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 49.8%, MDD -78.1%, exposure 70%.
Return/drawdown alternative: Parabolic SAR — CAGR is 14.0%p lower than buy and hold, while drawdown improves by 27.8%p (CAGR 43.6%, MDD -56.6%, exposure 51%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=35, threshold=13 |
41.5% | -50.6% | 0.95 | 0.82 | 20.8x | 40 | 35% |
| SMA 크로스오버 fast=24, slow=144 |
36.3% | -52.1% | 0.82 | 0.70 | 15.0x | 17 | 55% |
| EMA 크로스오버 fast=45, slow=183 |
34.4% | -53.5% | 0.81 | 0.64 | 13.3x | 9 | 58% |
| 볼린저 밴드 돌파 n=58, k=3.5 |
24.8% | -35.8% | 0.79 | 0.69 | 6.9x | 8 | 18% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=22, mult=4 |
24.8% | -39.9% | 0.75 | 0.62 | 6.9x | 16 | 26% |
| Donchian 채널 돌파 entryN=25, exitN=53 |
49.8% | -78.1% | 0.70 | 0.64 | 34.3x | 30 | 70% |
| Parabolic SAR step=0.01, maxStep=0.1 |
43.6% | -56.6% | 0.64 | 0.77 | 23.7x | 101 | 51% |
| ROC 모멘텀 n=147, threshold=-0.02 |
37.6% | -76.6% | 0.61 | 0.49 | 16.3x | 69 | 60% |
| Supertrend period=28, mult=4.5 |
35.9% | -86.1% | 0.59 | 0.42 | 14.6x | 26 | 51% |
| MACD fast=18, slow=58, signal=19 |
32.3% | -57.2% | 0.58 | 0.56 | 11.5x | 91 | 51% |
| Buy and hold | 55.5% | -78.4% | 0.78 | 0.71 | 47.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 35-day) is ≥ 13
- Sell — Sell when direction flips or the trend weakens (ADX < 13)