Trend-Following Backtester · Guide · backtest 한국어
equity · US
TRX Gold Corporation backtest
10 trend-following strategies were compared on the full daily history of TRX Gold Corporation. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 12.3%, MDD -57.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR -0.1%, drawdown -97.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 19.6%, MDD -63.7%, Sharpe 0.66, 14% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 19.7%p higher than buy and hold, while drawdown improves by 34.0%p (CAGR 12.3%, MDD -57.3%, exposure 16%).
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=30, threshold=23 |
19.6% | -63.7% | 0.66 | 0.31 | 44.3x | 34 | 14% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=8, mult=3.6 |
12.3% | -57.3% | 0.50 | 0.21 | 11.7x | 32 | 16% |
| Supertrend period=20, mult=4.1 |
13.6% | -88.0% | 0.50 | 0.15 | 15.0x | 60 | 47% |
| EMA 크로스오버 fast=36, slow=81 |
12.2% | -66.2% | 0.47 | 0.18 | 11.6x | 46 | 41% |
| Donchian 채널 돌파 entryN=50, exitN=26 |
11.4% | -75.4% | 0.46 | 0.15 | 9.9x | 58 | 38% |
| SMA 크로스오버 fast=23, slow=65 |
10.0% | -86.1% | 0.43 | 0.12 | 7.6x | 86 | 43% |
| Parabolic SAR step=0.005, maxStep=0.1 |
9.5% | -95.6% | 0.43 | 0.10 | 6.9x | 141 | 42% |
| ROC 모멘텀 n=73, threshold=0.04 |
6.4% | -85.2% | 0.36 | 0.07 | 3.7x | 226 | 40% |
| 볼린저 밴드 돌파 n=48, k=2.1 |
6.0% | -91.8% | 0.34 | 0.07 | 3.5x | 96 | 27% |
| MACD fast=15, slow=44, signal=11 |
-12.4% | -99.1% | 0.03 | -0.13 | 0.1x | 333 | 51% |
| Buy and hold | -0.1% | -97.7% | 0.37 | -0.00 | 1.0x | 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, 30-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)