Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Freehold Royalties Ltd. backtest
10 trend-following strategies were compared on the full daily history of Freehold Royalties Ltd.. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.5%, MDD -17.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 1.1%, drawdown -90.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.5%, MDD -17.0%, Sharpe 0.43, 9% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.6%, MDD -49.1%, exposure 54%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 73.9%p (CAGR 3.5%, MDD -17.0%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=55, k=3.2 |
3.5% | -17.0% | 0.43 | 0.20 | 2.2x | 14 | 9% |
| SMA 크로스오버 fast=14, slow=168 |
6.6% | -49.1% | 0.41 | 0.13 | 4.3x | 59 | 54% |
| EMA 크로스오버 fast=48, slow=131 |
6.3% | -42.2% | 0.40 | 0.15 | 4.0x | 33 | 55% |
| Donchian 채널 돌파 entryN=48, exitN=52 |
4.8% | -61.9% | 0.33 | 0.08 | 2.9x | 47 | 56% |
| ADX / DI 방향성 period=30, threshold=29 |
1.8% | -20.2% | 0.31 | 0.09 | 1.5x | 12 | 4% |
| ROC 모멘텀 n=135, threshold=-0.04 |
4.1% | -55.1% | 0.29 | 0.07 | 2.5x | 155 | 63% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=21, mult=2.4 |
2.9% | -52.7% | 0.27 | 0.06 | 1.9x | 87 | 29% |
| Supertrend period=20, mult=4.5 |
3.2% | -66.1% | 0.26 | 0.05 | 2.0x | 73 | 51% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-5.8% | -84.1% | -0.16 | -0.07 | 0.3x | 304 | 52% |
| MACD fast=31, slow=44, signal=23 |
-6.4% | -87.2% | -0.18 | -0.07 | 0.2x | 211 | 51% |
| Buy and hold | 1.1% | -90.8% | 0.20 | 0.01 | 1.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 55-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 55-day middle average