Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Fresnillo PLC backtest
10 trend-following strategies were compared on the full daily history of Fresnillo PLC. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 15.0%, MDD -44.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 10.4%, drawdown -82.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 15.0%, MDD -44.0%, Sharpe 0.69, 25% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 15.3%, MDD -58.2%, exposure 46%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 38.5%p (CAGR 15.0%, MDD -44.0%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=10, mult=2.9 |
15.0% | -44.0% | 0.69 | 0.34 | 12.9x | 50 | 25% |
| 볼린저 밴드 돌파 n=65, k=2.1 |
14.7% | -64.1% | 0.65 | 0.23 | 12.4x | 48 | 29% |
| Donchian 채널 돌파 entryN=99, exitN=40 |
13.4% | -45.7% | 0.61 | 0.29 | 10.0x | 28 | 31% |
| EMA 크로스오버 fast=18, slow=217 |
15.3% | -58.2% | 0.61 | 0.26 | 13.6x | 33 | 46% |
| SMA 크로스오버 fast=56, slow=176 |
15.0% | -68.0% | 0.59 | 0.22 | 12.9x | 26 | 48% |
| ADX / DI 방향성 period=36, threshold=13 |
12.5% | -67.7% | 0.57 | 0.18 | 8.6x | 90 | 29% |
| Parabolic SAR step=0.035, maxStep=0.1 |
12.3% | -69.7% | 0.52 | 0.18 | 8.3x | 419 | 50% |
| Supertrend period=17, mult=4.8 |
11.8% | -75.1% | 0.51 | 0.16 | 7.7x | 61 | 47% |
| MACD fast=8, slow=22, signal=5 |
10.3% | -78.4% | 0.46 | 0.13 | 6.0x | 499 | 51% |
| ROC 모멘텀 n=123, threshold=-0.01 |
9.4% | -77.5% | 0.44 | 0.12 | 5.2x | 158 | 49% |
| Buy and hold | 10.4% | -82.5% | 0.44 | 0.13 | 6.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 44-day average + 2.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 44-day average