Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Snowline Gold Corp. backtest
10 trend-following strategies were compared on the full daily history of Snowline Gold Corp.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 101.2%, drawdown -64.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 53.8%, MDD -68.5%, Sharpe 0.99, 69% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=199, threshold=0.06 |
53.8% | -68.5% | 0.99 | 0.79 | 22.6x | 37 | 69% |
| 볼린저 밴드 돌파 n=44, k=2 |
35.7% | -47.5% | 0.90 | 0.75 | 9.1x | 29 | 35% |
| SMA 크로스오버 fast=27, slow=62 |
40.0% | -45.0% | 0.88 | 0.89 | 11.4x | 33 | 56% |
| Donchian 채널 돌파 entryN=83, exitN=27 |
38.1% | -49.5% | 0.88 | 0.77 | 10.3x | 19 | 46% |
| EMA 크로스오버 fast=35, slow=102 |
37.5% | -58.1% | 0.84 | 0.64 | 10.0x | 13 | 62% |
| Supertrend period=7, mult=4.1 |
34.9% | -83.1% | 0.80 | 0.42 | 8.7x | 27 | 60% |
| MACD fast=14, slow=46, signal=14 |
39.2% | -67.3% | 0.73 | 0.58 | 11.0x | 79 | 52% |
| Parabolic SAR step=0.005, maxStep=0.32 |
24.8% | -72.1% | 0.68 | 0.34 | 5.0x | 45 | 51% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=13, mult=1.8 |
-0.6% | -77.2% | 0.25 | -0.01 | 1.0x | 53 | 43% |
| ADX / DI 방향성 period=15, threshold=20 |
-0.4% | -81.5% | 0.25 | -0.00 | 1.0x | 79 | 37% |
| Buy and hold | 101.2% | -64.3% | 0.98 | 1.57 | 157.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 199-day return is greater than 6%
- Sell — Sell when the 199-day return drops to 6% or below