Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Troilus Mining Corp backtest
10 trend-following strategies were compared on the full daily history of Troilus Mining Corp. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
5 of 10 beat buy and hold (CAGR -23.8%, drawdown -100.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.9%, MDD -82.4%, Sharpe 0.36, 26% 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=72, slow=173 |
4.9% | -82.4% | 0.36 | 0.06 | 4.2x | 23 | 26% |
| SMA 크로스오버 fast=77, slow=182 |
-3.8% | -96.5% | 0.34 | -0.04 | 0.3x | 45 | 34% |
| MACD fast=38, slow=45, signal=32 |
-27.5% | -100.0% | 0.27 | -0.27 | 0.0x | 210 | 53% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-17.1% | -100.0% | 0.19 | -0.17 | 0.0x | 154 | 40% |
| ADX / DI 방향성 period=67, threshold=16 |
-3.3% | -92.3% | 0.11 | -0.04 | 0.4x | 34 | 11% |
| Donchian 채널 돌파 entryN=79, exitN=72 |
-25.5% | -100.0% | 0.07 | -0.25 | 0.0x | 74 | 37% |
| ROC 모멘텀 n=50, threshold=-0.03 |
-43.9% | -100.0% | -0.05 | -0.44 | 0.0x | 504 | 49% |
| 볼린저 밴드 돌파 n=59, k=2.6 |
-23.5% | -100.0% | -0.10 | -0.23 | 0.0x | 94 | 21% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=14, mult=4 |
-27.1% | -100.0% | -0.17 | -0.27 | 0.0x | 96 | 17% |
| Supertrend period=5, mult=5 |
-48.7% | -100.0% | -0.23 | -0.49 | 0.0x | 229 | 51% |
| Buy and hold | -23.8% | -100.0% | 0.52 | -0.24 | 0.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 72-day EMA crosses above the 173-day EMA
- Sell — Sell when the 72-day EMA falls below the 173-day EMA