Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Atalaya Mining Copper SA backtest
10 trend-following strategies were compared on the full daily history of Atalaya Mining Copper SA. 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 9.1%, MDD -46.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR 5.8%, drawdown -93.1%).
Sharpe leader (same as main): Supertrend — CAGR 17.6%, MDD -59.9%, Sharpe 0.60, 54% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.7%p higher than buy and hold, while drawdown improves by 33.2%p (CAGR 9.1%, MDD -46.4%, exposure 28%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=8, mult=5 |
17.6% | -59.9% | 0.60 | 0.29 | 31.1x | 53 | 54% |
| SMA 크로스오버 fast=41, slow=74 |
15.1% | -50.4% | 0.55 | 0.30 | 19.8x | 67 | 52% |
| Donchian 채널 돌파 entryN=38, exitN=36 |
12.2% | -58.3% | 0.49 | 0.21 | 11.5x | 60 | 54% |
| ROC 모멘텀 n=72, threshold=0.06 |
11.1% | -59.3% | 0.47 | 0.19 | 9.3x | 221 | 43% |
| ADX / DI 방향성 period=24, threshold=19 |
9.1% | -46.4% | 0.44 | 0.19 | 6.3x | 114 | 28% |
| 볼린저 밴드 돌파 n=25, k=1.6 |
7.6% | -71.4% | 0.38 | 0.11 | 4.7x | 187 | 34% |
| EMA 크로스오버 fast=48, slow=71 |
6.5% | -66.2% | 0.35 | 0.10 | 3.8x | 57 | 51% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=20, mult=2.7 |
5.3% | -58.8% | 0.33 | 0.09 | 3.0x | 74 | 19% |
| Parabolic SAR step=0.035, maxStep=0.18 |
2.2% | -84.0% | 0.25 | 0.03 | 1.6x | 530 | 48% |
| MACD fast=17, slow=37, signal=16 |
2.0% | -80.6% | 0.24 | 0.02 | 1.5x | 247 | 50% |
| Buy and hold | 5.8% | -93.1% | 0.37 | 0.06 | 3.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 8-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)