Trend-Following Backtester · Guide · backtest 한국어
equity · CA
K92 Mining, Inc. backtest
10 trend-following strategies were compared on the full daily history of K92 Mining, Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 26.8%, MDD -60.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 28.2%, drawdown -82.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 26.8%, MDD -60.9%, Sharpe 0.76, 61% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 21.1%p (CAGR 26.8%, MDD -60.9%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=80, slow=108 |
26.8% | -60.9% | 0.76 | 0.44 | 40.9x | 15 | 61% |
| SMA 크로스오버 fast=67, slow=76 |
23.9% | -55.2% | 0.71 | 0.43 | 28.7x | 78 | 49% |
| Parabolic SAR step=0.03, maxStep=0.3 |
21.4% | -70.9% | 0.62 | 0.30 | 20.8x | 275 | 55% |
| ROC 모멘텀 n=122, threshold=0.01 |
15.2% | -70.8% | 0.56 | 0.21 | 9.1x | 95 | 50% |
| Donchian 채널 돌파 entryN=11, exitN=18 |
16.9% | -75.8% | 0.56 | 0.22 | 11.4x | 91 | 75% |
| 볼린저 밴드 돌파 n=55, k=1.6 |
14.0% | -58.4% | 0.54 | 0.24 | 7.8x | 57 | 42% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=26, mult=2.8 |
11.9% | -56.3% | 0.49 | 0.21 | 5.8x | 49 | 41% |
| Supertrend period=5, mult=3.1 |
12.9% | -74.8% | 0.47 | 0.17 | 6.7x | 91 | 59% |
| MACD fast=16, slow=48, signal=19 |
8.1% | -75.9% | 0.39 | 0.11 | 3.4x | 127 | 50% |
| ADX / DI 방향성 period=19, threshold=27 |
4.6% | -50.0% | 0.29 | 0.09 | 2.0x | 47 | 25% |
| Buy and hold | 28.2% | -82.0% | 0.69 | 0.34 | 48.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 80-day EMA crosses above the 108-day EMA
- Sell — Sell when the 80-day EMA falls below the 108-day EMA