Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Imperial Metals Corporation backtest
10 trend-following strategies were compared on the full daily history of Imperial Metals Corporation. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 16.2%, MDD -62.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.1%, drawdown -98.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 19.7%, MDD -64.2%, Sharpe 0.69, 22% exposure.
CAGR reference leader: MACD — CAGR 22.6%, MDD -83.1%, exposure 51%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 20.8%p higher than buy and hold, while drawdown improves by 34.7%p (CAGR 16.2%, MDD -62.9%, exposure 16%).
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=33, k=2.9 |
19.7% | -64.2% | 0.69 | 0.31 | 231.9x | 92 | 22% |
| Donchian 채널 돌파 entryN=98, exitN=10 |
16.2% | -62.9% | 0.67 | 0.26 | 94.4x | 80 | 16% |
| MACD fast=26, slow=61, signal=18 |
22.6% | -83.1% | 0.63 | 0.27 | 470.2x | 231 | 51% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=24, mult=2.2 |
17.7% | -71.5% | 0.61 | 0.25 | 137.5x | 130 | 28% |
| SMA 크로스오버 fast=12, slow=58 |
15.6% | -87.9% | 0.54 | 0.18 | 79.1x | 171 | 45% |
| EMA 크로스오버 fast=31, slow=55 |
13.6% | -84.8% | 0.51 | 0.16 | 47.4x | 82 | 44% |
| Supertrend period=31, mult=4.2 |
12.8% | -93.9% | 0.49 | 0.14 | 37.9x | 118 | 48% |
| ADX / DI 방향성 period=15, threshold=21 |
12.7% | -90.6% | 0.48 | 0.14 | 36.7x | 326 | 34% |
| ROC 모멘텀 n=79, threshold=0.12 |
9.6% | -84.4% | 0.42 | 0.11 | 15.9x | 300 | 34% |
| Parabolic SAR step=0.015, maxStep=0.16 |
8.8% | -90.7% | 0.41 | 0.10 | 12.9x | 429 | 45% |
| Buy and hold | -1.1% | -98.9% | 0.35 | -0.01 | 0.7x | 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 33-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 33-day middle average