Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Serabi Gold PLC backtest
10 trend-following strategies were compared on the full daily history of Serabi Gold PLC. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.2%, MDD -57.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -13.9%, drawdown -99.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.4%, MDD -61.0%, Sharpe 0.41, 31% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.8%, MDD -74.2%, exposure 38%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 22.4%p higher than buy and hold, while drawdown improves by 38.8%p (CAGR 0.2%, MDD -57.3%, exposure 4%).
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=48, slow=344 |
8.4% | -61.0% | 0.41 | 0.14 | 5.6x | 9 | 31% |
| SMA 크로스오버 fast=65, slow=228 |
8.8% | -74.2% | 0.40 | 0.12 | 5.9x | 21 | 38% |
| MACD fast=23, slow=117, signal=16 |
-1.6% | -90.6% | 0.32 | -0.02 | 0.7x | 198 | 52% |
| Donchian 채널 돌파 entryN=98, exitN=37 |
4.4% | -84.1% | 0.29 | 0.05 | 2.5x | 30 | 28% |
| ROC 모멘텀 n=142, threshold=0.03 |
2.1% | -91.8% | 0.28 | 0.02 | 1.5x | 128 | 42% |
| Supertrend period=18, mult=4.2 |
-3.1% | -93.8% | 0.22 | -0.03 | 0.5x | 72 | 47% |
| Parabolic SAR step=0.055, maxStep=0.16 |
-4.9% | -93.1% | 0.19 | -0.05 | 0.3x | 630 | 44% |
| ADX / DI 방향성 period=16, threshold=38 |
0.2% | -57.3% | 0.12 | 0.00 | 1.0x | 32 | 4% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=14, mult=2.2 |
-4.8% | -86.2% | 0.02 | -0.06 | 0.3x | 82 | 22% |
| 볼린저 밴드 돌파 n=24, k=2.5 |
-7.9% | -95.1% | 0.01 | -0.08 | 0.2x | 112 | 19% |
| Buy and hold | -13.9% | -99.8% | 0.30 | -0.14 | 0.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 48-day EMA crosses above the 344-day EMA
- Sell — Sell when the 48-day EMA falls below the 344-day EMA