Trend-Following Backtester · Guide · backtest 한국어
equity · US
Royal Gold, Inc. backtest
10 trend-following strategies were compared on the full daily history of Royal Gold, Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 10.1%, MDD -59.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 10.5%, drawdown -99.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.4%, MDD -83.8%, Sharpe 0.45, 53% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 16.0%p (CAGR 10.1%, MDD -59.4%, exposure 15%).
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=49, slow=163 |
13.4% | -83.8% | 0.45 | 0.16 | 300.8x | 80 | 53% |
| Supertrend period=18, mult=5 |
9.8% | -86.2% | 0.42 | 0.11 | 68.1x | 129 | 49% |
| 볼린저 밴드 돌파 n=82, k=3.2 |
12.4% | -70.0% | 0.42 | 0.18 | 194.5x | 44 | 14% |
| EMA 크로스오버 fast=45, slow=205 |
9.4% | -80.9% | 0.41 | 0.12 | 58.4x | 67 | 56% |
| Parabolic SAR step=0.015, maxStep=0.36 |
8.4% | -96.6% | 0.38 | 0.09 | 38.1x | 697 | 50% |
| ADX / DI 방향성 period=35, threshold=21 |
10.1% | -59.4% | 0.37 | 0.17 | 78.9x | 76 | 15% |
| Donchian 채널 돌파 entryN=59, exitN=74 |
6.3% | -91.5% | 0.34 | 0.07 | 16.1x | 99 | 56% |
| ROC 모멘텀 n=140, threshold=0.1 |
6.2% | -96.3% | 0.31 | 0.06 | 15.2x | 456 | 40% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=20, mult=3.5 |
3.0% | -81.3% | 0.25 | 0.04 | 3.9x | 129 | 22% |
| MACD fast=19, slow=52, signal=16 |
-1.4% | -99.8% | 0.24 | -0.01 | 0.5x | 505 | 52% |
| Buy and hold | 10.5% | -99.8% | 0.48 | 0.10 | 90.5x | 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 49-day average price crosses above the 163-day average
- Sell — Sell (to cash) when the 49-day average falls below the 163-day average