Trend-Following Backtester · Guide · backtest 한국어
equity · US
U.S. Gold Corp. backtest
10 trend-following strategies were compared on the full daily history of U.S. Gold Corp.. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
10 of 10 beat buy and hold (CAGR -6.4%, drawdown -100.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.4%, MDD -92.4%, Sharpe 0.35, 39% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=55, slow=200 |
6.4% | -92.4% | 0.35 | 0.07 | 17.6x | 48 | 39% |
| SMA 크로스오버 fast=25, slow=272 |
6.3% | -94.4% | 0.35 | 0.07 | 17.1x | 58 | 40% |
| MACD fast=26, slow=63, signal=19 |
0.2% | -99.3% | 0.26 | 0.00 | 1.1x | 362 | 52% |
| Donchian 채널 돌파 entryN=34, exitN=77 |
-4.1% | -99.9% | 0.19 | -0.04 | 0.1x | 112 | 64% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-2.8% | -98.1% | 0.18 | -0.03 | 0.3x | 310 | 43% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=12, mult=1.7 |
-1.1% | -97.4% | 0.18 | -0.01 | 0.6x | 240 | 31% |
| ROC 모멘텀 n=139, threshold=0.09 |
-1.9% | -98.9% | 0.16 | -0.02 | 0.4x | 400 | 37% |
| Supertrend period=17, mult=4.7 |
-3.0% | -98.6% | 0.16 | -0.03 | 0.2x | 164 | 41% |
| 볼린저 밴드 돌파 n=54, k=1.8 |
-2.0% | -97.7% | 0.15 | -0.02 | 0.4x | 204 | 30% |
| ADX / DI 방향성 period=30, threshold=12 |
-4.6% | -99.9% | 0.13 | -0.05 | 0.1x | 428 | 41% |
| Buy and hold | -6.4% | -100.0% | 0.26 | -0.06 | 0.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 55-day EMA crosses above the 200-day EMA
- Sell — Sell when the 55-day EMA falls below the 200-day EMA