Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Artemis Gold Inc backtest
10 trend-following strategies were compared on the full daily history of Artemis Gold Inc. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 55.5%, MDD -35.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 71.5%, drawdown -54.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 52.4%, MDD -47.0%, Sharpe 1.17, 58% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 55.5%, MDD -35.1%, exposure 70%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 19.1%p lower than buy and hold, while drawdown improves by 7.3%p (CAGR 55.5%, MDD -35.1%, exposure 70%).
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=110, exitN=46 |
52.4% | -47.0% | 1.17 | 1.11 | 18.4x | 7 | 58% |
| EMA 크로스오버 fast=51, slow=156 |
55.2% | -38.1% | 1.14 | 1.45 | 20.9x | 9 | 69% |
| ADX / DI 방향성 period=46, threshold=10 |
55.5% | -35.1% | 1.13 | 1.58 | 21.1x | 37 | 70% |
| SMA 크로스오버 fast=20, slow=126 |
53.4% | -42.6% | 1.12 | 1.25 | 19.3x | 15 | 69% |
| ROC 모멘텀 n=131, threshold=-0.06 |
52.2% | -51.7% | 1.08 | 1.01 | 18.2x | 45 | 76% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=16, mult=3 |
38.3% | -47.8% | 0.98 | 0.80 | 9.4x | 19 | 47% |
| Supertrend period=12, mult=3.8 |
40.5% | -63.4% | 0.93 | 0.64 | 10.5x | 25 | 71% |
| 볼린저 밴드 돌파 n=54, k=3.1 |
29.4% | -32.5% | 0.89 | 0.91 | 6.0x | 13 | 24% |
| Parabolic SAR step=0.02, maxStep=0.24 |
14.5% | -65.6% | 0.52 | 0.22 | 2.6x | 147 | 53% |
| MACD fast=19, slow=52, signal=22 |
12.2% | -69.6% | 0.47 | 0.18 | 2.2x | 83 | 52% |
| Buy and hold | 71.5% | -54.3% | 1.20 | 1.32 | 41.6x | 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 110 days
- Sell — Sell when price breaks below the lowest low of the last 46 days