Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Torex Gold Resources Inc. backtest
10 trend-following strategies were compared on the full daily history of Torex Gold Resources Inc.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.7%, MDD -36.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.0%, drawdown -78.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.7%, MDD -36.0%, Sharpe 0.50, 21% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 42.2%p (CAGR 9.7%, MDD -36.0%, exposure 21%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=76, k=2.9 |
9.7% | -36.0% | 0.50 | 0.27 | 4.5x | 22 | 21% |
| Donchian 채널 돌파 entryN=114, exitN=63 |
5.8% | -71.6% | 0.34 | 0.08 | 2.5x | 22 | 39% |
| SMA 크로스오버 fast=37, slow=86 |
5.1% | -72.8% | 0.33 | 0.07 | 2.3x | 48 | 54% |
| EMA 크로스오버 fast=32, slow=68 |
4.2% | -80.0% | 0.30 | 0.05 | 1.9x | 52 | 53% |
| ROC 모멘텀 n=129, threshold=-0.02 |
2.6% | -87.4% | 0.27 | 0.03 | 1.5x | 168 | 56% |
| Supertrend period=24, mult=5 |
0.9% | -84.3% | 0.22 | 0.01 | 1.1x | 48 | 49% |
| ADX / DI 방향성 period=37, threshold=16 |
2.3% | -69.1% | 0.22 | 0.03 | 1.4x | 58 | 21% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=26, mult=2.3 |
-0.9% | -64.4% | 0.12 | -0.01 | 0.9x | 84 | 28% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-3.0% | -82.7% | 0.12 | -0.04 | 0.6x | 144 | 50% |
| MACD fast=18, slow=29, signal=21 |
-4.3% | -75.3% | 0.09 | -0.06 | 0.5x | 207 | 49% |
| Buy and hold | 10.0% | -78.2% | 0.45 | 0.13 | 4.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 76-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 76-day middle average