Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Trekor Metals Limited backtest
10 trend-following strategies were compared on the full daily history of Trekor Metals Limited. 9 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 18.4%, MDD -57.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR 1.2%, drawdown -97.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 18.4%, MDD -57.3%, Sharpe 0.61, 41% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 17.3%p higher than buy and hold, while drawdown improves by 40.3%p (CAGR 18.4%, MDD -57.3%, exposure 41%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=27, slow=320 |
18.4% | -57.3% | 0.61 | 0.32 | 169.1x | 19 | 41% |
| ADX / DI 방향성 period=26, threshold=28 |
10.8% | -58.3% | 0.50 | 0.19 | 22.4x | 30 | 8% |
| Supertrend period=27, mult=4.6 |
13.5% | -86.1% | 0.49 | 0.16 | 46.0x | 127 | 43% |
| Donchian 채널 돌파 entryN=43, exitN=29 |
11.8% | -91.2% | 0.47 | 0.13 | 29.5x | 89 | 42% |
| 볼린저 밴드 돌파 n=60, k=2.8 |
8.8% | -91.9% | 0.41 | 0.10 | 12.9x | 71 | 24% |
| SMA 크로스오버 fast=45, slow=126 |
7.5% | -90.2% | 0.38 | 0.08 | 8.9x | 63 | 45% |
| ROC 모멘텀 n=88, threshold=0.1 |
5.6% | -91.9% | 0.34 | 0.06 | 5.3x | 295 | 36% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=19, mult=2.8 |
4.5% | -93.9% | 0.31 | 0.05 | 3.8x | 123 | 28% |
| Parabolic SAR step=0.04, maxStep=0.08 |
1.7% | -90.5% | 0.28 | 0.02 | 1.6x | 565 | 46% |
| MACD fast=11, slow=54, signal=18 |
-4.4% | -96.1% | 0.19 | -0.05 | 0.3x | 387 | 52% |
| Buy and hold | 1.2% | -97.6% | 0.37 | 0.01 | 1.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 27-day EMA crosses above the 320-day EMA
- Sell — Sell when the 27-day EMA falls below the 320-day EMA