Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Saudi Arabian Mining Co. backtest
10 trend-following strategies were compared on the full daily history of Saudi Arabian Mining Co.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 16.2%, drawdown -72.9%).
Sharpe leader (same as main): Supertrend — CAGR 8.6%, MDD -71.7%, Sharpe 0.39, 51% 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=24, mult=1.5 |
8.6% | -71.7% | 0.39 | 0.12 | 3.9x | 290 | 51% |
| MACD fast=17, slow=32, signal=4 |
5.8% | -73.3% | 0.36 | 0.08 | 2.6x | 335 | 48% |
| Donchian 채널 돌파 entryN=22, exitN=71 |
5.1% | -89.3% | 0.36 | 0.06 | 2.3x | 35 | 81% |
| SMA 크로스오버 fast=28, slow=188 |
4.9% | -81.2% | 0.31 | 0.06 | 2.2x | 28 | 64% |
| ROC 모멘텀 n=67, threshold=-0.03 |
1.6% | -89.8% | 0.31 | 0.02 | 1.3x | 163 | 66% |
| Parabolic SAR step=0.03, maxStep=0.18 |
-0.6% | -93.9% | 0.28 | -0.01 | 0.9x | 374 | 51% |
| EMA 크로스오버 fast=56, slow=204 |
-1.9% | -93.2% | 0.27 | -0.02 | 0.7x | 23 | 69% |
| 볼린저 밴드 돌파 n=8, k=2 |
-6.5% | -93.7% | 0.19 | -0.07 | 0.3x | 238 | 23% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=13, mult=1.5 |
-10.9% | -97.8% | 0.08 | -0.11 | 0.1x | 117 | 46% |
| ADX / DI 방향성 period=8, threshold=15 |
-12.7% | -98.5% | 0.06 | -0.13 | 0.1x | 439 | 51% |
| Buy and hold | 16.2% | -72.9% | 0.47 | 0.22 | 12.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 24-day volatility, 1.5× band
- Sell — Sell when price drops below the trend line (flips down)