Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Hemlo Mining Corp backtest
10 trend-following strategies were compared on the full daily history of Hemlo Mining Corp. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
6 of 10 beat buy and hold (CAGR -15.1%, drawdown -100.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR -5.0%, MDD -99.8%, Sharpe 0.47, 47% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR -0.0%, MDD -99.3%, exposure 22%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=55, slow=64 |
-5.0% | -99.8% | 0.47 | -0.05 | 0.4x | 113 | 47% |
| ADX / DI 방향성 period=36, threshold=15 |
-0.2% | -98.9% | 0.31 | -0.00 | 1.0x | 74 | 22% |
| Keltner 채널 돌파 emaPeriod=86, atrPeriod=7, mult=3.9 |
-0.0% | -99.3% | 0.31 | -0.00 | 1.0x | 42 | 22% |
| Donchian 채널 돌파 entryN=89, exitN=61 |
-13.0% | -99.9% | 0.31 | -0.13 | 0.1x | 43 | 39% |
| EMA 크로스오버 fast=49, slow=193 |
-6.0% | -99.5% | 0.28 | -0.06 | 0.3x | 25 | 29% |
| 볼린저 밴드 돌파 n=56, k=3 |
-2.7% | -99.4% | 0.24 | -0.03 | 0.6x | 42 | 20% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-26.4% | -100.0% | 0.16 | -0.26 | 0.0x | 188 | 43% |
| Supertrend period=16, mult=5 |
-24.2% | -100.0% | 0.15 | -0.24 | 0.0x | 88 | 38% |
| ROC 모멘텀 n=139, threshold=-0.03 |
-31.1% | -100.0% | 0.13 | -0.31 | 0.0x | 213 | 50% |
| MACD fast=25, slow=40, signal=21 |
-36.0% | -100.0% | 0.09 | -0.36 | 0.0x | 184 | 53% |
| Buy and hold | -15.1% | -100.0% | 0.63 | -0.15 | 0.1x | 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 55-day average price crosses above the 64-day average
- Sell — Sell (to cash) when the 55-day average falls below the 64-day average