Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Pan African Resources PLC backtest
10 trend-following strategies were compared on the full daily history of Pan African Resources PLC. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 21.1%, MDD -50.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 14.4%, drawdown -89.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.5%, MDD -52.0%, Sharpe 0.63, 52% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 8.1%p higher than buy and hold, while drawdown improves by 37.0%p (CAGR 21.1%, MDD -50.8%, exposure 54%).
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=48, slow=248 |
22.5% | -52.0% | 0.63 | 0.43 | 205.6x | 20 | 52% |
| EMA 크로스오버 fast=59, slow=192 |
21.1% | -50.8% | 0.61 | 0.41 | 151.8x | 28 | 54% |
| Donchian 채널 돌파 entryN=107, exitN=49 |
19.6% | -61.0% | 0.59 | 0.32 | 111.1x | 28 | 42% |
| Supertrend period=29, mult=4.4 |
14.1% | -75.8% | 0.49 | 0.19 | 31.8x | 71 | 49% |
| ROC 모멘텀 n=122, threshold=0.08 |
13.6% | -76.3% | 0.48 | 0.18 | 28.7x | 220 | 44% |
| Parabolic SAR step=0.01, maxStep=0.26 |
9.9% | -77.2% | 0.41 | 0.13 | 11.8x | 321 | 48% |
| 볼린저 밴드 돌파 n=59, k=2.3 |
9.2% | -72.2% | 0.39 | 0.13 | 10.1x | 95 | 31% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=26, mult=1.6 |
8.4% | -73.6% | 0.38 | 0.11 | 8.2x | 119 | 35% |
| ADX / DI 방향성 period=10, threshold=34 |
6.8% | -51.6% | 0.33 | 0.13 | 5.6x | 211 | 19% |
| MACD fast=17, slow=58, signal=18 |
4.9% | -73.4% | 0.32 | 0.07 | 3.5x | 277 | 53% |
| Buy and hold | 14.4% | -89.0% | 0.51 | 0.16 | 34.3x | 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 48-day average price crosses above the 248-day average
- Sell — Sell (to cash) when the 48-day average falls below the 248-day average