Trend-Following Backtester · Guide · backtest 한국어
equity · GB
AltynGold Plc backtest
10 trend-following strategies were compared on the full daily history of AltynGold Plc. 7 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.6%, MDD -34.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR 0.8%, drawdown -98.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.6%, MDD -34.9%, Sharpe 0.41, 9% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.8%, MDD -85.2%, exposure 45%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 63.5%p (CAGR 5.6%, MDD -34.9%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=47, threshold=23 |
5.6% | -34.9% | 0.41 | 0.16 | 3.4x | 20 | 9% |
| SMA 크로스오버 fast=56, slow=246 |
8.8% | -85.2% | 0.41 | 0.10 | 6.5x | 24 | 45% |
| ROC 모멘텀 n=199, threshold=0.05 |
4.7% | -87.8% | 0.32 | 0.05 | 2.7x | 146 | 44% |
| EMA 크로스오버 fast=6, slow=202 |
3.9% | -90.1% | 0.31 | 0.04 | 2.4x | 78 | 44% |
| Supertrend period=8, mult=4.9 |
1.3% | -93.4% | 0.29 | 0.01 | 1.3x | 60 | 58% |
| Donchian 채널 돌파 entryN=52, exitN=63 |
1.4% | -91.4% | 0.29 | 0.02 | 1.4x | 42 | 55% |
| 볼린저 밴드 돌파 n=39, k=1.4 |
2.3% | -85.5% | 0.27 | 0.03 | 1.7x | 138 | 35% |
| MACD fast=18, slow=29, signal=16 |
-6.2% | -97.4% | 0.13 | -0.06 | 0.2x | 271 | 49% |
| Parabolic SAR step=0.015, maxStep=0.32 |
-5.8% | -97.9% | 0.12 | -0.06 | 0.3x | 337 | 45% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=27, mult=1.3 |
-4.2% | -97.0% | 0.12 | -0.04 | 0.4x | 138 | 36% |
| Buy and hold | 0.8% | -98.5% | 0.39 | 0.01 | 1.2x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 47-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)