Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Osisko Metals Incorporated backtest
10 trend-following strategies were compared on the full daily history of Osisko Metals Incorporated. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.0%, MDD -58.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.6%, drawdown -97.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.0%, MDD -89.3%, Sharpe 0.54, 46% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.5%p higher than buy and hold, while drawdown improves by 8.4%p (CAGR 8.0%, MDD -58.0%, exposure 7%).
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=37, slow=45 |
13.0% | -89.3% | 0.54 | 0.15 | 14.4x | 190 | 46% |
| Donchian 채널 돌파 entryN=34, exitN=70 |
-4.4% | -99.2% | 0.41 | -0.04 | 0.4x | 64 | 65% |
| ADX / DI 방향성 period=33, threshold=27 |
8.0% | -58.0% | 0.38 | 0.14 | 5.4x | 28 | 7% |
| EMA 크로스오버 fast=40, slow=41 |
-0.9% | -98.9% | 0.37 | -0.01 | 0.8x | 77 | 42% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-3.5% | -98.4% | 0.35 | -0.04 | 0.5x | 112 | 41% |
| MACD fast=23, slow=57, signal=24 |
-16.4% | -99.7% | 0.22 | -0.16 | 0.0x | 190 | 52% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=8, mult=3.9 |
-1.3% | -91.5% | 0.21 | -0.01 | 0.7x | 54 | 10% |
| Supertrend period=8, mult=4.9 |
-21.3% | -100.0% | 0.16 | -0.21 | 0.0x | 113 | 49% |
| ROC 모멘텀 n=93, threshold=0.16 |
-12.0% | -99.3% | 0.15 | -0.12 | 0.1x | 203 | 29% |
| 볼린저 밴드 돌파 n=18, k=3.2 |
-2.3% | -85.0% | 0.13 | -0.03 | 0.6x | 52 | 8% |
| Buy and hold | 4.6% | -97.7% | 0.62 | 0.05 | 2.6x | 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 37-day average price crosses above the 45-day average
- Sell — Sell (to cash) when the 37-day average falls below the 45-day average