Trend-Following Backtester · Guide · backtest 한국어
equity · CA
PrairieSky Royalty Ltd backtest
10 trend-following strategies were compared on the full daily history of PrairieSky Royalty Ltd. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.9%, MDD -13.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR -0.6%, drawdown -84.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.2%, MDD -23.4%, Sharpe 0.60, 52% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.8%p higher than buy and hold, while drawdown improves by 61.0%p (CAGR 1.9%, MDD -13.2%, exposure 4%).
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=31, slow=276 |
10.2% | -23.4% | 0.60 | 0.44 | 3.3x | 7 | 52% |
| EMA 크로스오버 fast=40, slow=235 |
9.7% | -23.4% | 0.59 | 0.41 | 3.1x | 7 | 51% |
| Donchian 채널 돌파 entryN=92, exitN=60 |
5.9% | -34.3% | 0.41 | 0.17 | 2.0x | 13 | 47% |
| ADX / DI 방향성 period=35, threshold=22 |
1.9% | -13.2% | 0.36 | 0.14 | 1.3x | 6 | 4% |
| ROC 모멘텀 n=149, threshold=-0.04 |
4.5% | -42.7% | 0.31 | 0.10 | 1.7x | 79 | 58% |
| Supertrend period=22, mult=4.2 |
0.8% | -56.8% | 0.15 | 0.01 | 1.1x | 41 | 56% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-1.7% | -59.9% | 0.04 | -0.03 | 0.8x | 105 | 51% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=12, mult=1.3 |
-1.5% | -45.6% | 0.01 | -0.03 | 0.8x | 75 | 40% |
| 볼린저 밴드 돌파 n=44, k=2.9 |
-2.0% | -34.6% | -0.12 | -0.06 | 0.8x | 28 | 15% |
| MACD fast=11, slow=28, signal=13 |
-5.8% | -70.8% | -0.15 | -0.08 | 0.5x | 209 | 48% |
| Buy and hold | -0.6% | -84.4% | 0.15 | -0.01 | 0.9x | 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 31-day average price crosses above the 276-day average
- Sell — Sell (to cash) when the 31-day average falls below the 276-day average