Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Empire Metals Limited backtest
10 trend-following strategies were compared on the full daily history of Empire Metals Limited. 9 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 19.4%, MDD -68.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR -16.1%, drawdown -99.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 19.4%, MDD -68.4%, Sharpe 0.58, 33% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 35.5%p higher than buy and hold, while drawdown improves by 31.5%p (CAGR 19.4%, MDD -68.4%, exposure 33%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=11, slow=93 |
19.4% | -68.4% | 0.58 | 0.28 | 16.0x | 39 | 33% |
| ADX / DI 방향성 period=32, threshold=18 |
15.9% | -75.0% | 0.53 | 0.21 | 10.0x | 45 | 34% |
| SMA 크로스오버 fast=12, slow=176 |
13.7% | -80.4% | 0.50 | 0.17 | 7.4x | 29 | 33% |
| ROC 모멘텀 n=94, threshold=-0.01 |
9.3% | -84.6% | 0.44 | 0.11 | 4.0x | 115 | 36% |
| 볼린저 밴드 돌파 n=35, k=2.4 |
7.2% | -74.4% | 0.38 | 0.10 | 3.0x | 58 | 18% |
| Donchian 채널 돌파 entryN=118, exitN=70 |
5.8% | -79.7% | 0.36 | 0.07 | 2.4x | 14 | 30% |
| Supertrend period=26, mult=3.4 |
1.3% | -97.6% | 0.31 | 0.01 | 1.2x | 63 | 36% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=10, mult=1.7 |
3.1% | -92.6% | 0.30 | 0.03 | 1.6x | 60 | 23% |
| Parabolic SAR step=0.03, maxStep=0.34 |
-13.0% | -99.3% | 0.11 | -0.13 | 0.1x | 374 | 39% |
| MACD fast=17, slow=23, signal=15 |
-18.8% | -99.8% | 0.04 | -0.19 | 0.0x | 214 | 50% |
| Buy and hold | -16.1% | -99.9% | 0.28 | -0.16 | 0.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 11-day EMA crosses above the 93-day EMA
- Sell — Sell when the 11-day EMA falls below the 93-day EMA