Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Liberty Gold Corp backtest
10 trend-following strategies were compared on the full daily history of Liberty Gold Corp. 10 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 17.1%, MDD -40.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.7%, drawdown -90.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 22.1%, MDD -55.1%, Sharpe 0.72, 27% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 21.5%p higher than buy and hold, while drawdown improves by 35.1%p (CAGR 17.1%, MDD -40.8%, exposure 21%).
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=48, k=2.2 |
22.1% | -55.1% | 0.72 | 0.40 | 18.3x | 47 | 27% |
| ADX / DI 방향성 period=41, threshold=18 |
17.1% | -40.8% | 0.67 | 0.42 | 9.9x | 32 | 21% |
| Donchian 채널 돌파 entryN=58, exitN=36 |
18.2% | -55.3% | 0.61 | 0.33 | 11.3x | 33 | 36% |
| SMA 크로스오버 fast=13, slow=167 |
16.1% | -56.9% | 0.56 | 0.28 | 8.8x | 37 | 43% |
| ROC 모멘텀 n=135, threshold=0.14 |
15.0% | -72.2% | 0.55 | 0.21 | 7.7x | 63 | 35% |
| EMA 크로스오버 fast=41, slow=137 |
14.9% | -66.2% | 0.54 | 0.23 | 7.5x | 27 | 40% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=28, mult=3.1 |
13.7% | -54.3% | 0.53 | 0.25 | 6.4x | 39 | 26% |
| Supertrend period=11, mult=4.2 |
12.0% | -73.8% | 0.47 | 0.16 | 5.2x | 49 | 51% |
| MACD fast=16, slow=44, signal=16 |
3.2% | -87.9% | 0.30 | 0.04 | 1.6x | 179 | 48% |
| Parabolic SAR step=0.02, maxStep=0.34 |
1.2% | -78.8% | 0.26 | 0.02 | 1.2x | 262 | 47% |
| Buy and hold | 0.7% | -90.2% | 0.34 | 0.01 | 1.1x | 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 48-day average (2.2× volatility)
- Sell — Sell when the close falls back to the 48-day middle average