Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Central Asia Metals Plc backtest
10 trend-following strategies were compared on the full daily history of Central Asia Metals Plc. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 27.4%, drawdown -99.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR -8.7%, MDD -99.8%, Sharpe 0.51, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=63, slow=123 |
-8.7% | -99.8% | 0.51 | -0.09 | 0.1x | 66 | 48% |
| EMA 크로스오버 fast=64, slow=168 |
-18.4% | -100.0% | 0.45 | -0.18 | 0.0x | 46 | 44% |
| Donchian 채널 돌파 entryN=118, exitN=77 |
-21.9% | -99.9% | 0.44 | -0.22 | 0.0x | 46 | 42% |
| ROC 모멘텀 n=91, threshold=-0.08 |
-30.6% | -100.0% | 0.43 | -0.31 | 0.0x | 277 | 67% |
| ADX / DI 방향성 period=29, threshold=20 |
-16.8% | -99.9% | 0.40 | -0.17 | 0.0x | 90 | 20% |
| 볼린저 밴드 돌파 n=66, k=2.4 |
-30.8% | -100.0% | 0.27 | -0.31 | 0.0x | 70 | 20% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-23.5% | -100.0% | 0.26 | -0.24 | 0.0x | 331 | 46% |
| Supertrend period=10, mult=4.8 |
-47.3% | -100.0% | 0.23 | -0.47 | 0.0x | 126 | 45% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=9, mult=4 |
-36.1% | -100.0% | 0.20 | -0.36 | 0.0x | 62 | 8% |
| MACD fast=13, slow=26, signal=14 |
-54.3% | -100.0% | 0.17 | -0.54 | 0.0x | 389 | 53% |
| Buy and hold | 27.4% | -99.0% | 0.35 | 0.28 | 293.3x | 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 63-day average price crosses above the 123-day average
- Sell — Sell (to cash) when the 63-day average falls below the 123-day average