Trend-Following Backtester · Guide · backtest 한국어
equity · CA
NGEx Minerals Ltd. backtest
10 trend-following strategies were compared on the full daily history of NGEx Minerals Ltd.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 61.3%, MDD -40.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 81.3%, drawdown -66.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 75.1%, MDD -66.7%, Sharpe 1.22, 85% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 76.3%, MDD -66.7%, exposure 85%.
Return/drawdown alternative: Supertrend — CAGR is 6.2%p lower than buy and hold, while drawdown improves by 0.0%p (CAGR 61.3%, MDD -40.2%, exposure 63%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=54, slow=161 |
75.1% | -66.7% | 1.22 | 1.13 | 49.0x | 3 | 85% |
| ROC 모멘텀 n=196, threshold=0.04 |
76.3% | -66.7% | 1.22 | 1.14 | 51.4x | 24 | 85% |
| SMA 크로스오버 fast=8, slow=207 |
71.3% | -60.3% | 1.19 | 1.18 | 42.0x | 8 | 81% |
| Supertrend period=14, mult=4 |
61.3% | -40.2% | 1.14 | 1.52 | 27.7x | 28 | 63% |
| Donchian 채널 돌파 entryN=9, exitN=34 |
66.6% | -48.1% | 1.13 | 1.38 | 34.7x | 27 | 83% |
| 볼린저 밴드 돌파 n=51, k=2.9 |
41.6% | -37.3% | 1.06 | 1.11 | 11.2x | 18 | 38% |
| ADX / DI 방향성 period=34, threshold=12 |
50.0% | -42.1% | 1.03 | 1.19 | 16.7x | 54 | 59% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=13, mult=2.9 |
34.1% | -57.5% | 0.86 | 0.59 | 7.7x | 28 | 46% |
| Parabolic SAR step=0.02, maxStep=0.14 |
28.7% | -47.5% | 0.74 | 0.60 | 5.8x | 131 | 55% |
| MACD fast=16, slow=25, signal=18 |
26.4% | -59.1% | 0.71 | 0.45 | 5.1x | 95 | 47% |
| Buy and hold | 81.3% | -66.7% | 1.20 | 1.22 | 62.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 54-day EMA crosses above the 161-day EMA
- Sell — Sell when the 54-day EMA falls below the 161-day EMA