Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Santacruz Silver Mining Ltd. backtest
10 trend-following strategies were compared on the full daily history of Santacruz Silver Mining Ltd.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 14.3%, MDD -51.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR 6.4%, drawdown -98.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 24.2%, MDD -67.4%, Sharpe 0.65, 41% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 17.8%p higher than buy and hold, while drawdown improves by 30.6%p (CAGR 14.3%, MDD -51.2%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=51, slow=71 |
24.2% | -67.4% | 0.65 | 0.36 | 22.0x | 52 | 41% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=12, mult=3.6 |
20.3% | -79.8% | 0.65 | 0.25 | 14.0x | 24 | 15% |
| Donchian 채널 돌파 entryN=96, exitN=50 |
21.3% | -90.4% | 0.62 | 0.24 | 15.7x | 18 | 34% |
| EMA 크로스오버 fast=51, slow=58 |
19.6% | -92.1% | 0.59 | 0.21 | 12.9x | 38 | 41% |
| ROC 모멘텀 n=110, threshold=0.14 |
18.9% | -72.9% | 0.58 | 0.26 | 11.8x | 106 | 35% |
| ADX / DI 방향성 period=11, threshold=36 |
14.3% | -51.2% | 0.54 | 0.28 | 6.8x | 66 | 13% |
| 볼린저 밴드 돌파 n=47, k=2.4 |
14.8% | -77.5% | 0.52 | 0.19 | 7.2x | 44 | 23% |
| MACD fast=29, slow=47, signal=24 |
10.1% | -90.3% | 0.49 | 0.11 | 4.0x | 107 | 49% |
| Parabolic SAR step=0.03, maxStep=0.22 |
3.9% | -97.0% | 0.39 | 0.04 | 1.7x | 303 | 46% |
| Supertrend period=24, mult=5 |
-0.2% | -96.5% | 0.31 | -0.00 | 1.0x | 44 | 46% |
| Buy and hold | 6.4% | -98.0% | 0.54 | 0.06 | 2.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 51-day average price crosses above the 71-day average
- Sell — Sell (to cash) when the 51-day average falls below the 71-day average