Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Lundin Mining Corporation backtest
10 trend-following strategies were compared on the full daily history of Lundin Mining Corporation. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.3%, MDD -72.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.2%, drawdown -95.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.9%, MDD -84.7%, Sharpe 0.45, 54% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 10.6%p (CAGR 9.3%, MDD -72.4%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=52, slow=102 |
10.9% | -84.7% | 0.45 | 0.13 | 22.3x | 75 | 54% |
| EMA 크로스오버 fast=54, slow=162 |
9.3% | -72.4% | 0.42 | 0.13 | 14.2x | 45 | 54% |
| Donchian 채널 돌파 entryN=57, exitN=67 |
3.0% | -98.9% | 0.33 | 0.03 | 2.4x | 64 | 58% |
| ADX / DI 방향성 period=31, threshold=21 |
4.9% | -53.3% | 0.32 | 0.09 | 4.2x | 46 | 12% |
| MACD fast=37, slow=54, signal=36 |
-0.2% | -95.7% | 0.29 | -0.00 | 0.9x | 184 | 52% |
| 볼린저 밴드 돌파 n=56, k=3.1 |
4.0% | -89.0% | 0.28 | 0.05 | 3.3x | 48 | 17% |
| ROC 모멘텀 n=82, threshold=-0.02 |
-5.2% | -99.8% | 0.18 | -0.05 | 0.2x | 357 | 57% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=18, mult=4 |
-3.0% | -98.6% | 0.09 | -0.03 | 0.4x | 94 | 25% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-12.0% | -99.6% | 0.03 | -0.12 | 0.0x | 236 | 49% |
| Supertrend period=21, mult=4.8 |
-13.0% | -100.0% | 0.00 | -0.13 | 0.0x | 156 | 54% |
| Buy and hold | 10.2% | -95.3% | 0.51 | 0.11 | 18.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 52-day average price crosses above the 102-day average
- Sell — Sell (to cash) when the 52-day average falls below the 102-day average