Trend-Following Backtester · Guide · backtest 한국어
equity · US
Coeur Mining, Inc. backtest
10 trend-following strategies were compared on the full daily history of Coeur Mining, Inc.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.3%, MDD -25.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.7%, drawdown -99.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.3%, MDD -25.5%, Sharpe 0.36, 3% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 5.1%, MDD -79.1%, exposure 15%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.0%p higher than buy and hold, while drawdown improves by 74.0%p (CAGR 3.3%, MDD -25.5%, exposure 3%).
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=37 |
3.3% | -25.5% | 0.36 | 0.13 | 4.5x | 30 | 3% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=10, mult=3.6 |
5.1% | -79.1% | 0.33 | 0.06 | 9.9x | 94 | 15% |
| 볼린저 밴드 돌파 n=36, k=2.4 |
3.7% | -88.6% | 0.27 | 0.04 | 5.5x | 188 | 24% |
| Donchian 채널 돌파 entryN=132, exitN=69 |
2.5% | -92.7% | 0.25 | 0.03 | 3.2x | 54 | 31% |
| SMA 크로스오버 fast=23, slow=132 |
1.7% | -95.6% | 0.24 | 0.02 | 2.2x | 136 | 43% |
| ROC 모멘텀 n=124, threshold=0.07 |
1.3% | -85.8% | 0.22 | 0.02 | 1.8x | 412 | 36% |
| Parabolic SAR step=0.03, maxStep=0.06 |
-1.3% | -96.3% | 0.19 | -0.01 | 0.5x | 706 | 47% |
| EMA 크로스오버 fast=25, slow=101 |
-1.0% | -95.4% | 0.17 | -0.01 | 0.6x | 142 | 42% |
| Supertrend period=9, mult=4.5 |
-2.5% | -99.1% | 0.17 | -0.03 | 0.3x | 184 | 52% |
| MACD fast=18, slow=51, signal=18 |
-3.4% | -98.2% | 0.16 | -0.03 | 0.2x | 504 | 52% |
| Buy and hold | -4.7% | -99.5% | 0.25 | -0.05 | 0.1x | 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 ≥ 37
- Sell — Sell when direction flips or the trend weakens (ADX < 37)