Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Hudbay Minerals Inc backtest
10 trend-following strategies were compared on the full daily history of Hudbay Minerals Inc. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 20.4%, MDD -49.2%).
Results by strategy
7 of 10 beat buy and hold (CAGR 12.3%, drawdown -93.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 20.4%, MDD -49.2%, Sharpe 0.68, 54% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 8.0%p higher than buy and hold, while drawdown improves by 43.9%p (CAGR 20.4%, MDD -49.2%, exposure 54%).
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=21, slow=87 |
20.4% | -49.2% | 0.68 | 0.41 | 54.0x | 59 | 54% |
| EMA 크로스오버 fast=12, slow=78 |
19.6% | -63.9% | 0.67 | 0.31 | 47.3x | 79 | 54% |
| Donchian 채널 돌파 entryN=39, exitN=68 |
20.3% | -71.6% | 0.66 | 0.28 | 53.6x | 45 | 63% |
| Supertrend period=22, mult=4.2 |
14.9% | -62.6% | 0.56 | 0.24 | 19.7x | 89 | 52% |
| ROC 모멘텀 n=117, threshold=0.03 |
14.3% | -64.6% | 0.55 | 0.22 | 17.7x | 187 | 51% |
| 볼린저 밴드 돌파 n=61, k=1.4 |
13.2% | -55.5% | 0.54 | 0.24 | 14.5x | 97 | 43% |
| Parabolic SAR step=0.02, maxStep=0.12 |
13.7% | -76.0% | 0.53 | 0.18 | 15.8x | 409 | 51% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=8, mult=2.4 |
10.3% | -59.2% | 0.47 | 0.17 | 8.3x | 97 | 38% |
| MACD fast=3, slow=47, signal=13 |
8.3% | -86.8% | 0.40 | 0.10 | 5.6x | 539 | 52% |
| ADX / DI 방향성 period=13, threshold=39 |
4.3% | -38.9% | 0.38 | 0.11 | 2.5x | 48 | 6% |
| Buy and hold | 12.3% | -93.1% | 0.49 | 0.13 | 12.2x | 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 21-day average price crosses above the 87-day average
- Sell — Sell (to cash) when the 21-day average falls below the 87-day average