Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Labrador Iron Ore Royalty Corporation backtest
10 trend-following strategies were compared on the full daily history of Labrador Iron Ore Royalty Corporation. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.8%, MDD -7.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 0.9%, drawdown -82.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.2%, MDD -42.5%, Sharpe 0.34, 45% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.4%p higher than buy and hold, while drawdown improves by 39.8%p (CAGR 0.8%, MDD -7.3%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=56, exitN=37 |
5.2% | -42.5% | 0.34 | 0.12 | 2.5x | 40 | 45% |
| Supertrend period=11, mult=4.9 |
5.1% | -64.1% | 0.33 | 0.08 | 2.5x | 46 | 52% |
| 볼린저 밴드 돌파 n=59, k=2.9 |
2.8% | -34.4% | 0.29 | 0.08 | 1.6x | 22 | 14% |
| ROC 모멘텀 n=104, threshold=0.22 |
2.9% | -33.0% | 0.27 | 0.09 | 1.7x | 78 | 21% |
| SMA 크로스오버 fast=26, slow=58 |
3.3% | -66.8% | 0.26 | 0.05 | 1.8x | 76 | 53% |
| MACD fast=28, slow=42, signal=38 |
3.0% | -73.0% | 0.24 | 0.04 | 1.7x | 128 | 50% |
| ADX / DI 방향성 period=34, threshold=30 |
0.8% | -7.3% | 0.23 | 0.10 | 1.1x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=14, mult=2.8 |
2.2% | -45.1% | 0.22 | 0.05 | 1.5x | 56 | 26% |
| EMA 크로스오버 fast=55, slow=190 |
1.9% | -64.5% | 0.20 | 0.03 | 1.4x | 26 | 49% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-4.0% | -69.9% | -0.04 | -0.06 | 0.5x | 158 | 50% |
| Buy and hold | 0.9% | -82.3% | 0.21 | 0.01 | 1.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 56 days
- Sell — Sell when price breaks below the lowest low of the last 37 days