Trend-Following Backtester · Guide · backtest 한국어
equity · CA
i-80 Gold Corp backtest
10 trend-following strategies were compared on the full daily history of i-80 Gold Corp. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.3%, MDD -18.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 0.7%, drawdown -87.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 19.0%, MDD -35.5%, Sharpe 0.73, 24% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 18.3%p higher than buy and hold, while drawdown improves by 52.4%p (CAGR 5.3%, MDD -18.7%, exposure 10%).
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=57, k=2.2 |
19.0% | -35.5% | 0.73 | 0.54 | 2.6x | 13 | 24% |
| Donchian 채널 돌파 entryN=82, exitN=16 |
16.6% | -25.6% | 0.72 | 0.65 | 2.3x | 9 | 20% |
| Keltner 채널 돌파 emaPeriod=62, atrPeriod=28, mult=3.5 |
13.4% | -25.6% | 0.62 | 0.52 | 2.0x | 9 | 20% |
| EMA 크로스오버 fast=57, slow=93 |
6.9% | -47.5% | 0.37 | 0.14 | 1.4x | 11 | 39% |
| ADX / DI 방향성 period=16, threshold=34 |
5.3% | -18.7% | 0.36 | 0.28 | 1.3x | 10 | 10% |
| ROC 모멘텀 n=87, threshold=0.08 |
6.7% | -60.6% | 0.36 | 0.11 | 1.4x | 43 | 33% |
| SMA 크로스오버 fast=49, slow=197 |
2.4% | -58.8% | 0.24 | 0.04 | 1.1x | 8 | 35% |
| Supertrend period=26, mult=4.4 |
-0.9% | -76.2% | 0.19 | -0.01 | 1.0x | 19 | 50% |
| MACD fast=9, slow=24, signal=7 |
-8.0% | -72.4% | 0.02 | -0.11 | 0.6x | 119 | 48% |
| Parabolic SAR step=0.03, maxStep=0.22 |
-8.1% | -66.0% | 0.01 | -0.12 | 0.6x | 151 | 45% |
| Buy and hold | 0.7% | -87.9% | 0.37 | 0.01 | 1.0x | 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 57-day average (2.2× volatility)
- Sell — Sell when the close falls back to the 57-day middle average