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.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 51.2%, MDD -24.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR 57.7%, drawdown -58.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 71.3%, MDD -36.2%, Sharpe 1.47, 60% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 13.6%p higher than buy and hold, while drawdown improves by 21.9%p (CAGR 51.2%, MDD -24.9%, exposure 37%).
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 |
71.3% | -36.2% | 1.47 | 1.97 | 22.3x | 5 | 60% |
| EMA 크로스오버 fast=57, slow=132 |
68.5% | -36.2% | 1.43 | 1.89 | 20.3x | 5 | 60% |
| 볼린저 밴드 돌파 n=51, k=3 |
51.2% | -24.9% | 1.40 | 2.06 | 10.9x | 12 | 37% |
| Donchian 채널 돌파 entryN=81, exitN=45 |
59.8% | -35.5% | 1.36 | 1.68 | 14.9x | 7 | 54% |
| ROC 모멘텀 n=115, threshold=0.12 |
59.1% | -46.0% | 1.33 | 1.28 | 14.5x | 43 | 56% |
| ADX / DI 방향성 period=34, threshold=23 |
39.2% | -25.8% | 1.30 | 1.52 | 6.8x | 6 | 29% |
| Supertrend period=8, mult=4.9 |
53.2% | -60.9% | 1.13 | 0.87 | 11.7x | 15 | 76% |
| MACD fast=23, slow=59, signal=39 |
38.6% | -36.2% | 1.04 | 1.07 | 6.6x | 36 | 48% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=17, mult=3.3 |
23.2% | -22.6% | 0.93 | 1.03 | 3.3x | 18 | 21% |
| Parabolic SAR step=0.015, maxStep=0.18 |
25.6% | -45.7% | 0.76 | 0.56 | 3.7x | 96 | 52% |
| Buy and hold | 57.7% | -58.1% | 1.10 | 0.99 | 13.8x | 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