Trend-Following Backtester · Guide · backtest 한국어
equity · CA
NorthIsle Copper and Gold Inc. backtest
10 trend-following strategies were compared on the full daily history of NorthIsle Copper and Gold Inc.. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 37.1%, MDD -65.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 19.1%, drawdown -98.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 37.1%, MDD -65.3%, Sharpe 0.76, 46% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 17.9%p higher than buy and hold, while drawdown improves by 33.5%p (CAGR 37.1%, MDD -65.3%, exposure 46%).
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=59, slow=160 |
37.1% | -65.3% | 0.76 | 0.57 | 97.9x | 13 | 46% |
| SMA 크로스오버 fast=47, slow=81 |
34.9% | -73.1% | 0.75 | 0.48 | 77.5x | 44 | 44% |
| Donchian 채널 돌파 entryN=127, exitN=92 |
28.1% | -84.3% | 0.69 | 0.33 | 36.6x | 13 | 45% |
| ADX / DI 방향성 period=19, threshold=27 |
9.2% | -77.9% | 0.45 | 0.12 | 3.6x | 52 | 20% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=28, mult=4 |
9.4% | -91.2% | 0.45 | 0.10 | 3.7x | 28 | 25% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-7.7% | -97.1% | 0.33 | -0.08 | 0.3x | 85 | 42% |
| 볼린저 밴드 돌파 n=54, k=3.1 |
2.2% | -91.9% | 0.31 | 0.02 | 1.4x | 34 | 21% |
| ROC 모멘텀 n=186, threshold=-0.01 |
-15.1% | -99.6% | 0.27 | -0.15 | 0.1x | 167 | 52% |
| Supertrend period=11, mult=4.4 |
-26.5% | -100.0% | 0.21 | -0.27 | 0.0x | 71 | 58% |
| MACD fast=24, slow=54, signal=18 |
-50.2% | -100.0% | -0.12 | -0.50 | 0.0x | 191 | 50% |
| Buy and hold | 19.1% | -98.9% | 0.67 | 0.19 | 12.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 59-day EMA crosses above the 160-day EMA
- Sell — Sell when the 59-day EMA falls below the 160-day EMA