Trend-Following Backtester · Guide · backtest 한국어
equity · US
AngloGold Ashanti PLC backtest
10 trend-following strategies were compared on the full daily history of AngloGold Ashanti PLC. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.9%, MDD -51.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.1%, drawdown -90.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.9%, MDD -51.3%, Sharpe 0.46, 27% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 39.4%p (CAGR 8.9%, MDD -51.3%, exposure 27%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=113, exitN=28 |
8.9% | -51.3% | 0.46 | 0.17 | 11.0x | 45 | 27% |
| SMA 크로스오버 fast=77, slow=111 |
7.3% | -57.3% | 0.38 | 0.13 | 7.2x | 82 | 50% |
| EMA 크로스오버 fast=88, slow=159 |
4.9% | -74.9% | 0.31 | 0.07 | 3.8x | 33 | 50% |
| 볼린저 밴드 돌파 n=46, k=2.4 |
4.0% | -67.8% | 0.28 | 0.06 | 3.0x | 93 | 25% |
| ADX / DI 방향성 period=27, threshold=15 |
3.3% | -73.0% | 0.25 | 0.05 | 2.5x | 199 | 29% |
| Supertrend period=21, mult=4.6 |
2.9% | -91.2% | 0.25 | 0.03 | 2.2x | 125 | 49% |
| ROC 모멘텀 n=89, threshold=0.11 |
2.4% | -73.4% | 0.23 | 0.03 | 2.0x | 289 | 36% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=9, mult=2.1 |
0.7% | -80.7% | 0.16 | 0.01 | 1.2x | 175 | 30% |
| Parabolic SAR step=0.015, maxStep=0.38 |
-5.8% | -97.6% | -0.00 | -0.06 | 0.2x | 513 | 50% |
| MACD fast=19, slow=59, signal=13 |
-6.4% | -93.8% | -0.01 | -0.07 | 0.2x | 353 | 51% |
| Buy and hold | 6.1% | -90.7% | 0.37 | 0.07 | 5.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 113 days
- Sell — Sell when price breaks below the lowest low of the last 28 days