Trend-Following Backtester · Guide · backtest 한국어
equity · CA
First Mining Gold Corp. backtest
10 trend-following strategies were compared on the full daily history of First Mining Gold Corp.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.0%, MDD -27.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR 3.2%, drawdown -91.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.2%, MDD -57.3%, Sharpe 0.56, 32% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 13.0%p higher than buy and hold, while drawdown improves by 34.4%p (CAGR 4.0%, MDD -27.5%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=46, slow=240 |
16.2% | -57.3% | 0.56 | 0.28 | 5.5x | 9 | 32% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=9, mult=4 |
11.3% | -53.3% | 0.52 | 0.21 | 3.3x | 12 | 12% |
| ROC 모멘텀 n=142, threshold=0.1 |
13.5% | -67.2% | 0.51 | 0.20 | 4.2x | 81 | 28% |
| EMA 크로스오버 fast=58, slow=199 |
13.1% | -66.6% | 0.50 | 0.20 | 4.0x | 9 | 31% |
| 볼린저 밴드 돌파 n=72, k=2.6 |
7.6% | -71.7% | 0.38 | 0.11 | 2.3x | 23 | 18% |
| Supertrend period=34, mult=4.5 |
7.4% | -78.7% | 0.38 | 0.09 | 2.2x | 29 | 32% |
| Donchian 채널 돌파 entryN=103, exitN=75 |
6.6% | -79.0% | 0.36 | 0.08 | 2.1x | 13 | 30% |
| ADX / DI 방향성 period=26, threshold=32 |
4.0% | -27.5% | 0.33 | 0.15 | 1.6x | 6 | 4% |
| Parabolic SAR step=0.01, maxStep=0.38 |
-6.8% | -91.9% | 0.08 | -0.07 | 0.5x | 136 | 44% |
| MACD fast=13, slow=45, signal=17 |
-16.1% | -95.1% | -0.15 | -0.17 | 0.1x | 162 | 48% |
| Buy and hold | 3.2% | -91.7% | 0.37 | 0.04 | 1.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 46-day average price crosses above the 240-day average
- Sell — Sell (to cash) when the 46-day average falls below the 240-day average