Trend-Following Backtester · Guide · backtest 한국어
equity · US
Uranium Royalty Corp. backtest
10 trend-following strategies were compared on the full daily history of Uranium Royalty Corp.. 3 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 12.9%, MDD -45.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.9%, drawdown -74.6%).
Sharpe leader (same as main): MACD — CAGR 12.9%, MDD -45.6%, Sharpe 0.49, 50% exposure.
Return/drawdown alternative: MACD — CAGR is 8.0%p higher than buy and hold, while drawdown improves by 28.9%p (CAGR 12.9%, MDD -45.6%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=8, slow=36, signal=15 |
12.9% | -45.6% | 0.49 | 0.28 | 1.9x | 79 | 50% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=29, mult=3.3 |
7.0% | -45.9% | 0.36 | 0.15 | 1.4x | 13 | 20% |
| 볼린저 밴드 돌파 n=31, k=1.2 |
6.0% | -55.6% | 0.35 | 0.11 | 1.4x | 51 | 36% |
| Supertrend period=11, mult=2 |
1.5% | -58.8% | 0.27 | 0.03 | 1.1x | 57 | 44% |
| SMA 크로스오버 fast=58, slow=146 |
0.5% | -48.5% | 0.21 | 0.01 | 1.0x | 10 | 35% |
| ROC 모멘텀 n=93, threshold=0.05 |
-0.7% | -66.6% | 0.21 | -0.01 | 1.0x | 55 | 37% |
| Donchian 채널 돌파 entryN=79, exitN=16 |
0.9% | -45.8% | 0.19 | 0.02 | 1.0x | 12 | 16% |
| EMA 크로스오버 fast=8, slow=209 |
-1.0% | -46.5% | 0.17 | -0.02 | 0.9x | 15 | 35% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-6.8% | -63.5% | 0.11 | -0.11 | 0.7x | 95 | 47% |
| ADX / DI 방향성 period=13, threshold=32 |
-2.5% | -33.0% | 0.03 | -0.08 | 0.9x | 19 | 8% |
| Buy and hold | 4.9% | -74.6% | 0.41 | 0.07 | 1.3x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (8/36) crosses above its 15-day signal line
- Sell — Sell when the MACD line crosses back below the signal line