Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Southern Cross Gold Consolidated Ltd. backtest
10 trend-following strategies were compared on the full daily history of Southern Cross Gold Consolidated Ltd.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 24.5%, MDD -65.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 7.3%, drawdown -97.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 24.5%, MDD -65.5%, Sharpe 0.65, 46% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 17.2%p higher than buy and hold, while drawdown improves by 31.5%p (CAGR 24.5%, MDD -65.5%, exposure 46%).
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=56, slow=175 |
24.5% | -65.5% | 0.65 | 0.37 | 119.7x | 29 | 46% |
| EMA 크로스오버 fast=78, slow=101 |
17.7% | -82.1% | 0.56 | 0.21 | 34.8x | 29 | 45% |
| Donchian 채널 돌파 entryN=77, exitN=103 |
9.7% | -96.4% | 0.47 | 0.10 | 7.6x | 29 | 53% |
| 볼린저 밴드 돌파 n=72, k=3 |
9.8% | -78.3% | 0.43 | 0.13 | 7.7x | 39 | 21% |
| ADX / DI 방향성 period=31, threshold=25 |
5.3% | -55.5% | 0.32 | 0.10 | 3.1x | 20 | 8% |
| ROC 모멘텀 n=147, threshold=0.14 |
1.9% | -98.1% | 0.32 | 0.02 | 1.5x | 168 | 39% |
| Keltner 채널 돌파 emaPeriod=91, atrPeriod=23, mult=3.1 |
3.1% | -94.7% | 0.32 | 0.03 | 2.0x | 61 | 28% |
| Supertrend period=9, mult=3.7 |
-7.1% | -99.6% | 0.25 | -0.07 | 0.2x | 131 | 48% |
| Parabolic SAR step=0.015, maxStep=0.2 |
-8.3% | -99.3% | 0.22 | -0.08 | 0.1x | 294 | 47% |
| MACD fast=18, slow=64, signal=14 |
-12.9% | -99.7% | 0.17 | -0.13 | 0.0x | 265 | 49% |
| Buy and hold | 7.3% | -97.0% | 0.57 | 0.08 | 4.7x | 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 56-day average price crosses above the 175-day average
- Sell — Sell (to cash) when the 56-day average falls below the 175-day average