Trend-Following Backtester · Guide · backtest 한국어
equity · US
Hycroft Mining Holding Corporation backtest
10 trend-following strategies were compared on the full daily history of Hycroft Mining Holding Corporation. 10 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 27.0%, MDD -54.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -15.4%, drawdown -98.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 41.8%, MDD -67.1%, Sharpe 0.65, 19% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 57.2%p higher than buy and hold, while drawdown improves by 31.8%p (CAGR 27.0%, MDD -54.6%, exposure 17%).
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=19, threshold=25 |
41.8% | -67.1% | 0.65 | 0.62 | 19.3x | 28 | 19% |
| SMA 크로스오버 fast=33, slow=92 |
24.5% | -73.0% | 0.63 | 0.34 | 6.4x | 16 | 46% |
| Donchian 채널 돌파 entryN=104, exitN=29 |
21.2% | -69.5% | 0.63 | 0.30 | 5.1x | 10 | 33% |
| 볼린저 밴드 돌파 n=47, k=3.4 |
27.0% | -54.6% | 0.60 | 0.49 | 7.6x | 18 | 17% |
| ROC 모멘텀 n=82, threshold=0.06 |
19.4% | -78.7% | 0.57 | 0.25 | 4.5x | 42 | 26% |
| Parabolic SAR step=0.03, maxStep=0.08 |
26.4% | -68.7% | 0.56 | 0.38 | 7.3x | 146 | 44% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=33, mult=2.3 |
20.9% | -70.2% | 0.54 | 0.30 | 5.0x | 40 | 28% |
| EMA 크로스오버 fast=54, slow=219 |
13.5% | -68.8% | 0.50 | 0.20 | 2.9x | 7 | 36% |
| Supertrend period=16, mult=5 |
11.7% | -90.3% | 0.46 | 0.13 | 2.6x | 22 | 48% |
| MACD fast=7, slow=27, signal=15 |
3.1% | -94.5% | 0.39 | 0.03 | 1.3x | 160 | 52% |
| Buy and hold | -15.4% | -98.9% | 0.31 | -0.16 | 0.2x | 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, 19-day) is ≥ 25
- Sell — Sell when direction flips or the trend weakens (ADX < 25)