Trend-Following Backtester · Guide · backtest 한국어
equity · US
Caledonia Mining Corporation Plc backtest
10 trend-following strategies were compared on the full daily history of Caledonia Mining Corporation Plc. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
4 of 10 beat buy and hold (CAGR -1.0%, drawdown -99.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR -2.8%, MDD -99.3%, Sharpe 0.41, 42% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.4%, MDD -90.6%, exposure 29%.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=28, threshold=13 |
-2.8% | -99.3% | 0.41 | -0.03 | 0.3x | 374 | 42% |
| SMA 크로스오버 fast=12, slow=41 |
0.3% | -98.1% | 0.37 | 0.00 | 1.1x | 304 | 44% |
| Donchian 채널 돌파 entryN=97, exitN=35 |
6.4% | -90.6% | 0.37 | 0.07 | 13.5x | 82 | 29% |
| EMA 크로스오버 fast=49, slow=98 |
2.5% | -95.6% | 0.34 | 0.03 | 2.8x | 82 | 42% |
| Parabolic SAR step=0.01, maxStep=0.32 |
-5.6% | -99.5% | 0.33 | -0.06 | 0.1x | 383 | 44% |
| MACD fast=26, slow=35, signal=30 |
-14.5% | -100.0% | 0.30 | -0.15 | 0.0x | 363 | 51% |
| Supertrend period=30, mult=5 |
-8.1% | -99.9% | 0.29 | -0.08 | 0.0x | 170 | 40% |
| 볼린저 밴드 돌파 n=58, k=3.3 |
-0.8% | -94.7% | 0.22 | -0.01 | 0.7x | 82 | 19% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=24, mult=3.8 |
-2.3% | -98.8% | 0.18 | -0.02 | 0.4x | 104 | 21% |
| ROC 모멘텀 n=105, threshold=-0.04 |
-33.2% | -100.0% | -0.10 | -0.33 | 0.0x | 596 | 51% |
| Buy and hold | -1.0% | -99.7% | 0.60 | -0.01 | 0.7x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 28-day) is ≥ 13
- Sell — Sell when direction flips or the trend weakens (ADX < 13)