Trend-Following Backtester · Guide · backtest 한국어
equity · US
Idaho Strategic Resources, Inc. backtest
10 trend-following strategies were compared on the full daily history of Idaho Strategic Resources, Inc.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 9.2%, drawdown -98.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.3%, MDD -90.7%, Sharpe 0.54, 53% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=45, slow=248 |
9.3% | -90.7% | 0.54 | 0.10 | 10.8x | 36 | 53% |
| Donchian 채널 돌파 entryN=21, exitN=104 |
-21.5% | -100.0% | 0.41 | -0.22 | 0.0x | 69 | 85% |
| EMA 크로스오버 fast=54, slow=197 |
-2.0% | -97.6% | 0.38 | -0.02 | 0.6x | 42 | 51% |
| Supertrend period=7, mult=5 |
-35.0% | -100.0% | 0.11 | -0.35 | 0.0x | 138 | 62% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-30.4% | -100.0% | 0.08 | -0.30 | 0.0x | 388 | 49% |
| ADX / DI 방향성 period=39, threshold=29 |
-3.2% | -81.1% | 0.07 | -0.04 | 0.4x | 18 | 4% |
| 볼린저 밴드 돌파 n=58, k=3 |
-10.3% | -97.6% | 0.03 | -0.11 | 0.1x | 60 | 16% |
| MACD fast=28, slow=73, signal=24 |
-47.7% | -100.0% | -0.18 | -0.48 | 0.0x | 282 | 50% |
| ROC 모멘텀 n=99, threshold=-0.04 |
-48.1% | -100.0% | -0.21 | -0.48 | 0.0x | 600 | 57% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=20, mult=4 |
-19.4% | -99.8% | -0.30 | -0.19 | 0.0x | 50 | 7% |
| Buy and hold | 9.2% | -98.2% | 0.73 | 0.09 | 10.6x | 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 45-day average price crosses above the 248-day average
- Sell — Sell (to cash) when the 45-day average falls below the 248-day average