Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Wheaton Precious Metals Corp backtest
10 trend-following strategies were compared on the full daily history of Wheaton Precious Metals Corp. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 21.4%, MDD -62.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 20.1%, drawdown -83.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 21.4%, MDD -62.2%, Sharpe 0.73, 68% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 21.0%p (CAGR 21.4%, MDD -62.2%, exposure 68%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=15, exitN=31 |
21.4% | -62.2% | 0.73 | 0.34 | 67.2x | 97 | 68% |
| MACD fast=22, slow=66, signal=19 |
15.8% | -46.1% | 0.63 | 0.34 | 24.2x | 191 | 53% |
| Supertrend period=10, mult=4.3 |
14.9% | -65.0% | 0.60 | 0.23 | 20.5x | 89 | 56% |
| 볼린저 밴드 돌파 n=43, k=0.9 |
13.2% | -48.4% | 0.57 | 0.27 | 14.8x | 175 | 48% |
| EMA 크로스오버 fast=55, slow=94 |
13.9% | -69.3% | 0.56 | 0.20 | 17.0x | 39 | 62% |
| SMA 크로스오버 fast=23, slow=87 |
13.0% | -57.3% | 0.54 | 0.23 | 14.4x | 79 | 59% |
| ROC 모멘텀 n=84, threshold=-0.04 |
11.2% | -79.4% | 0.48 | 0.14 | 10.0x | 215 | 69% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=9, mult=1.4 |
10.1% | -49.1% | 0.48 | 0.21 | 8.2x | 167 | 47% |
| Parabolic SAR step=0.015, maxStep=0.3 |
4.9% | -63.9% | 0.31 | 0.08 | 2.8x | 403 | 53% |
| ADX / DI 방향성 period=27, threshold=14 |
4.6% | -46.7% | 0.31 | 0.10 | 2.7x | 189 | 36% |
| Buy and hold | 20.1% | -83.2% | 0.63 | 0.24 | 54.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 15 days
- Sell — Sell when price breaks below the lowest low of the last 31 days