Trend-Following Backtester · Guide · backtest 한국어
equity · CA
First Quantum Minerals Ltd. backtest
10 trend-following strategies were compared on the full daily history of First Quantum Minerals Ltd.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 20.3%, MDD -62.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 18.8%, drawdown -91.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 24.1%, MDD -63.0%, Sharpe 0.73, 62% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 24.1%, MDD -66.5%, exposure 76%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 28.3%p (CAGR 20.3%, MDD -62.3%, exposure 63%).
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=29, slow=70 |
24.1% | -63.0% | 0.73 | 0.38 | 283.7x | 89 | 62% |
| ROC 모멘텀 n=68, threshold=-0.11 |
24.1% | -66.5% | 0.70 | 0.36 | 287.3x | 213 | 76% |
| Donchian 채널 돌파 entryN=60, exitN=66 |
20.3% | -62.3% | 0.66 | 0.33 | 126.3x | 43 | 63% |
| EMA 크로스오버 fast=44, slow=53 |
17.9% | -66.7% | 0.61 | 0.27 | 74.5x | 73 | 64% |
| ADX / DI 방향성 period=46, threshold=7 |
8.4% | -72.1% | 0.40 | 0.12 | 8.2x | 295 | 60% |
| 볼린저 밴드 돌파 n=74, k=1.9 |
6.9% | -62.2% | 0.37 | 0.11 | 5.8x | 95 | 41% |
| Supertrend period=14, mult=4.2 |
6.5% | -89.6% | 0.36 | 0.07 | 5.2x | 127 | 57% |
| Parabolic SAR step=0.025, maxStep=0.12 |
4.2% | -89.1% | 0.31 | 0.05 | 2.9x | 547 | 52% |
| MACD fast=10, slow=55, signal=7 |
3.8% | -80.1% | 0.30 | 0.05 | 2.6x | 501 | 51% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=15, mult=1.3 |
-1.6% | -92.4% | 0.13 | -0.02 | 0.7x | 297 | 44% |
| Buy and hold | 18.8% | -91.3% | 0.59 | 0.21 | 91.4x | 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 29-day average price crosses above the 70-day average
- Sell — Sell (to cash) when the 29-day average falls below the 70-day average