Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Triple Flag Precious Metals Corp. backtest
10 trend-following strategies were compared on the full daily history of Triple Flag Precious Metals Corp.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 22.4%, MDD -27.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 22.9%, drawdown -35.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.4%, MDD -27.6%, Sharpe 0.86, 62% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 8.1%p (CAGR 22.4%, MDD -27.6%, exposure 62%).
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=41, slow=128 |
22.4% | -27.6% | 0.86 | 0.81 | 2.9x | 8 | 62% |
| ADX / DI 방향성 period=25, threshold=13 |
17.9% | -26.6% | 0.77 | 0.67 | 2.4x | 39 | 47% |
| Donchian 채널 돌파 entryN=23, exitN=70 |
20.0% | -38.0% | 0.76 | 0.53 | 2.6x | 9 | 73% |
| 볼린저 밴드 돌파 n=51, k=1 |
14.1% | -24.5% | 0.65 | 0.58 | 2.0x | 31 | 47% |
| EMA 크로스오버 fast=48, slow=62 |
14.5% | -30.8% | 0.62 | 0.47 | 2.0x | 13 | 62% |
| Supertrend period=17, mult=4 |
12.6% | -31.9% | 0.59 | 0.40 | 1.9x | 23 | 51% |
| ROC 모멘텀 n=86, threshold=0.07 |
12.1% | -28.6% | 0.58 | 0.42 | 1.8x | 60 | 48% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=29, mult=1.5 |
10.7% | -30.1% | 0.53 | 0.35 | 1.7x | 33 | 46% |
| MACD fast=8, slow=22, signal=7 |
8.1% | -28.5% | 0.43 | 0.28 | 1.5x | 123 | 51% |
| Parabolic SAR step=0.02, maxStep=0.16 |
7.2% | -29.6% | 0.40 | 0.24 | 1.4x | 113 | 54% |
| Buy and hold | 22.9% | -35.7% | 0.75 | 0.64 | 3.0x | 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 41-day average price crosses above the 128-day average
- Sell — Sell (to cash) when the 41-day average falls below the 128-day average