Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Omai Gold Mines Corp. backtest
10 trend-following strategies were compared on the full daily history of Omai Gold Mines Corp.. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
3 of 10 beat buy and hold (CAGR 15.3%, drawdown -99.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 26.3%, MDD -80.0%, Sharpe 0.70, 29% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 29.0%, MDD -91.8%, exposure 34%.
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=59, slow=209 |
26.3% | -80.0% | 0.70 | 0.33 | 30.4x | 7 | 29% |
| Donchian 채널 돌파 entryN=207, exitN=58 |
27.3% | -83.3% | 0.69 | 0.33 | 34.3x | 7 | 31% |
| SMA 크로스오버 fast=45, slow=210 |
29.0% | -91.8% | 0.68 | 0.32 | 41.2x | 19 | 34% |
| ADX / DI 방향성 period=36, threshold=29 |
11.2% | -63.6% | 0.47 | 0.18 | 4.7x | 16 | 9% |
| ROC 모멘텀 n=120, threshold=-0.03 |
-17.3% | -100.0% | 0.27 | -0.17 | 0.1x | 135 | 51% |
| Supertrend period=9, mult=4.9 |
-40.0% | -100.0% | 0.19 | -0.40 | 0.0x | 103 | 60% |
| 볼린저 밴드 돌파 n=39, k=3.2 |
-7.6% | -92.2% | 0.08 | -0.08 | 0.3x | 31 | 14% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-33.9% | -100.0% | -0.02 | -0.34 | 0.0x | 138 | 46% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=29, mult=4 |
-21.2% | -99.8% | -0.07 | -0.21 | 0.0x | 47 | 23% |
| MACD fast=16, slow=37, signal=17 |
-54.0% | -100.0% | -0.16 | -0.54 | 0.0x | 191 | 55% |
| Buy and hold | 15.3% | -99.3% | 0.63 | 0.15 | 8.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 59-day EMA crosses above the 209-day EMA
- Sell — Sell when the 59-day EMA falls below the 209-day EMA