Trend-Following Backtester · Guide · backtest 한국어
equity · US
Vista Gold Corp backtest
10 trend-following strategies were compared on the full daily history of Vista Gold Corp. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.9%, MDD -42.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -7.5%, drawdown -99.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR -0.7%, MDD -94.9%, Sharpe 0.32, 39% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 2.3%, MDD -86.7%, exposure 39%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.9%p higher than buy and hold, while drawdown improves by 5.0%p (CAGR 0.9%, MDD -42.5%, exposure 1%).
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=33, threshold=11 |
-0.7% | -94.9% | 0.32 | -0.01 | 0.8x | 358 | 39% |
| EMA 크로스오버 fast=50, slow=191 |
2.3% | -86.7% | 0.28 | 0.03 | 2.6x | 52 | 39% |
| SMA 크로스오버 fast=36, slow=122 |
0.1% | -95.8% | 0.27 | 0.00 | 1.1x | 94 | 42% |
| Parabolic SAR step=0.03, maxStep=0.24 |
-5.2% | -97.9% | 0.22 | -0.05 | 0.1x | 911 | 44% |
| Donchian 채널 돌파 entryN=117, exitN=78 |
-3.8% | -98.3% | 0.14 | -0.04 | 0.2x | 48 | 37% |
| Supertrend period=25, mult=4.8 |
-5.1% | -98.7% | 0.12 | -0.05 | 0.1x | 116 | 39% |
| 볼린저 밴드 돌파 n=16, k=3.5 |
0.9% | -42.5% | 0.12 | 0.02 | 1.5x | 8 | 1% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=10, mult=1.9 |
-4.8% | -97.6% | 0.10 | -0.05 | 0.1x | 186 | 27% |
| ROC 모멘텀 n=173, threshold=0.02 |
-11.9% | -100.0% | 0.02 | -0.12 | 0.0x | 383 | 40% |
| MACD fast=19, slow=32, signal=18 |
-25.0% | -100.0% | -0.03 | -0.25 | 0.0x | 569 | 51% |
| Buy and hold | -7.5% | -99.9% | 0.41 | -0.08 | 0.0x | 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, 33-day) is ≥ 11
- Sell — Sell when direction flips or the trend weakens (ADX < 11)