Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Seabridge Gold Inc backtest
10 trend-following strategies were compared on the full daily history of Seabridge Gold Inc. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.9%, MDD -53.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 1.2%, drawdown -99.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.2%, MDD -94.0%, Sharpe 0.38, 46% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.0%p higher than buy and hold, while drawdown improves by 5.8%p (CAGR 3.9%, MDD -53.3%, exposure 3%).
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=14, slow=215 |
7.2% | -94.0% | 0.38 | 0.08 | 8.3x | 70 | 46% |
| EMA 크로스오버 fast=73, slow=152 |
4.3% | -91.4% | 0.32 | 0.05 | 3.7x | 47 | 46% |
| ADX / DI 방향성 period=36, threshold=27 |
3.9% | -53.3% | 0.29 | 0.07 | 3.2x | 8 | 3% |
| ROC 모멘텀 n=162, threshold=0.04 |
-0.1% | -91.1% | 0.25 | -0.00 | 1.0x | 288 | 45% |
| Donchian 채널 돌파 entryN=11, exitN=101 |
-12.3% | -99.8% | 0.24 | -0.12 | 0.0x | 109 | 87% |
| Parabolic SAR step=0.01, maxStep=0.24 |
-4.3% | -92.0% | 0.19 | -0.05 | 0.3x | 386 | 48% |
| 볼린저 밴드 돌파 n=29, k=2.1 |
-3.3% | -93.9% | 0.15 | -0.04 | 0.4x | 208 | 27% |
| Keltner 채널 돌파 emaPeriod=62, atrPeriod=46, mult=2.8 |
-5.0% | -95.3% | 0.12 | -0.05 | 0.2x | 134 | 29% |
| MACD fast=12, slow=39, signal=19 |
-12.6% | -99.2% | 0.08 | -0.13 | 0.0x | 429 | 52% |
| Supertrend period=10, mult=4.8 |
-11.8% | -99.6% | 0.07 | -0.12 | 0.0x | 155 | 51% |
| Buy and hold | 1.2% | -99.8% | 0.47 | 0.01 | 1.4x | 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 14-day average price crosses above the 215-day average
- Sell — Sell (to cash) when the 14-day average falls below the 215-day average