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 27.5%, drawdown -99.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR -6.1%, MDD -99.8%, Sharpe 0.52, 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=59, slow=130 |
-6.1% | -99.8% | 0.52 | -0.06 | 0.2x | 59 | 48% |
| EMA 크로스오버 fast=47, slow=178 |
-18.1% | -100.0% | 0.45 | -0.18 | 0.0x | 51 | 43% |
| Donchian 채널 돌파 entryN=119, exitN=75 |
-21.7% | -99.9% | 0.44 | -0.22 | 0.0x | 46 | 42% |
| ROC 모멘텀 n=126, threshold=-0.08 |
-28.9% | -100.0% | 0.43 | -0.29 | 0.0x | 275 | 65% |
| ADX / DI 방향성 period=29, threshold=20 |
-16.7% | -99.9% | 0.40 | -0.17 | 0.0x | 90 | 20% |
| 볼린저 밴드 돌파 n=91, k=1.8 |
-28.7% | -100.0% | 0.32 | -0.29 | 0.0x | 75 | 27% |
| Parabolic SAR step=0.015, maxStep=0.1 |
-21.9% | -100.0% | 0.26 | -0.22 | 0.0x | 326 | 46% |
| Supertrend period=10, mult=4.8 |
-47.0% | -100.0% | 0.23 | -0.47 | 0.0x | 127 | 45% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=11, mult=3.8 |
-35.4% | -100.0% | 0.21 | -0.35 | 0.0x | 68 | 9% |
| MACD fast=13, slow=25, signal=15 |
-53.8% | -100.0% | 0.17 | -0.54 | 0.0x | 390 | 53% |
| Buy and hold | 27.5% | -99.0% | 0.34 | 0.28 | 313.6x | 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 59-day average price crosses above the 130-day average
- Sell — Sell (to cash) when the 59-day average falls below the 130-day average