Trend-Following Backtester · Guide · backtest 한국어
equity · US
Core Natural Resources, Inc. backtest
10 trend-following strategies were compared on the full daily history of Core Natural Resources, Inc.. 7 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 17.5%, MDD -37.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR 15.7%, drawdown -92.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 31.0%, MDD -50.1%, Sharpe 0.84, 54% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 15.3%p higher than buy and hold, while drawdown improves by 42.1%p (CAGR 17.5%, MDD -37.8%, exposure 20%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=113, threshold=-0.01 |
31.0% | -50.1% | 0.84 | 0.62 | 10.5x | 48 | 54% |
| EMA 크로스오버 fast=43, slow=91 |
30.4% | -44.9% | 0.84 | 0.68 | 10.1x | 14 | 53% |
| SMA 크로스오버 fast=33, slow=115 |
30.0% | -42.2% | 0.83 | 0.71 | 9.8x | 16 | 54% |
| Donchian 채널 돌파 entryN=88, exitN=76 |
25.9% | -46.8% | 0.75 | 0.55 | 7.4x | 10 | 55% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=29, mult=3.9 |
17.5% | -37.8% | 0.71 | 0.46 | 4.1x | 16 | 20% |
| 볼린저 밴드 돌파 n=45, k=2.4 |
19.6% | -53.9% | 0.69 | 0.36 | 4.7x | 28 | 29% |
| Supertrend period=15, mult=4.3 |
17.4% | -75.0% | 0.57 | 0.23 | 4.1x | 30 | 47% |
| ADX / DI 방향성 period=33, threshold=22 |
9.0% | -38.0% | 0.47 | 0.24 | 2.1x | 20 | 12% |
| MACD fast=22, slow=54, signal=18 |
4.4% | -79.7% | 0.33 | 0.06 | 1.5x | 81 | 53% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-0.1% | -85.3% | 0.23 | -0.00 | 1.0x | 72 | 52% |
| Buy and hold | 15.7% | -92.2% | 0.55 | 0.17 | 3.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 113-day return is greater than -1%
- Sell — Sell when the 113-day return drops to -1% or below