Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Western Region Gold Co Ltd backtest
10 trend-following strategies were compared on the full daily history of Western Region Gold Co Ltd. 0 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 14.8%, drawdown -70.1%).
Sharpe leader (same as main): Parabolic SAR — CAGR 13.4%, MDD -67.1%, Sharpe 0.53, 48% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.015, maxStep=0.3 |
13.4% | -67.1% | 0.53 | 0.20 | 4.3x | 175 | 48% |
| Donchian 채널 돌파 entryN=7, exitN=112 |
10.4% | -63.4% | 0.45 | 0.16 | 3.1x | 25 | 91% |
| ADX / DI 방향성 period=16, threshold=49 |
3.7% | -22.7% | 0.43 | 0.16 | 1.5x | 6 | 5% |
| Supertrend period=32, mult=2.4 |
4.3% | -56.4% | 0.30 | 0.08 | 1.6x | 102 | 39% |
| MACD fast=15, slow=24, signal=15 |
3.6% | -66.1% | 0.28 | 0.05 | 1.5x | 155 | 49% |
| SMA 크로스오버 fast=13, slow=27 |
2.8% | -71.2% | 0.26 | 0.04 | 1.4x | 112 | 44% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=28, mult=1.4 |
1.6% | -67.9% | 0.21 | 0.02 | 1.2x | 96 | 26% |
| EMA 크로스오버 fast=8, slow=19 |
-0.1% | -66.5% | 0.18 | -0.00 | 1.0x | 126 | 45% |
| ROC 모멘텀 n=22, threshold=0.05 |
-1.8% | -71.0% | 0.11 | -0.03 | 0.8x | 189 | 29% |
| 볼린저 밴드 돌파 n=46, k=2.3 |
-0.9% | -72.7% | 0.11 | -0.01 | 0.9x | 44 | 26% |
| Buy and hold | 14.8% | -70.1% | 0.54 | 0.21 | 4.9x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots