Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Montage Gold Corp. backtest
10 trend-following strategies were compared on the full daily history of Montage Gold Corp.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 64.4%, MDD -35.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 62.2%, drawdown -58.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 76.0%, MDD -36.2%, Sharpe 1.53, 60% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 13.7%p higher than buy and hold, while drawdown improves by 21.9%p (CAGR 64.4%, MDD -35.5%, 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=11, slow=188 |
76.0% | -36.2% | 1.53 | 2.10 | 27.3x | 5 | 60% |
| EMA 크로스오버 fast=57, slow=132 |
73.1% | -36.2% | 1.49 | 2.02 | 24.9x | 5 | 60% |
| Donchian 채널 돌파 entryN=81, exitN=45 |
64.4% | -35.5% | 1.43 | 1.81 | 18.3x | 7 | 54% |
| 볼린저 밴드 돌파 n=51, k=3 |
50.3% | -24.9% | 1.39 | 2.02 | 10.9x | 12 | 37% |
| ROC 모멘텀 n=115, threshold=0.12 |
61.1% | -46.0% | 1.36 | 1.33 | 16.3x | 47 | 56% |
| ADX / DI 방향성 period=34, threshold=23 |
38.6% | -25.8% | 1.29 | 1.50 | 6.8x | 6 | 29% |
| Supertrend period=8, mult=4.9 |
57.7% | -60.9% | 1.19 | 0.95 | 14.4x | 15 | 76% |
| MACD fast=23, slow=59, signal=39 |
39.8% | -36.2% | 1.07 | 1.10 | 7.1x | 37 | 49% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=17, mult=3.3 |
22.8% | -22.6% | 0.92 | 1.01 | 3.3x | 18 | 21% |
| Parabolic SAR step=0.015, maxStep=0.18 |
28.2% | -45.7% | 0.81 | 0.62 | 4.3x | 98 | 52% |
| Buy and hold | 62.2% | -58.1% | 1.16 | 1.07 | 17.0x | 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 11-day average price crosses above the 188-day average
- Sell — Sell (to cash) when the 11-day average falls below the 188-day average