Trend-Following Backtester · Guide · backtest 한국어
equity · US
Freeport-McMoRan, Inc. backtest
10 trend-following strategies were compared on the full daily history of Freeport-McMoRan, Inc.. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.0%, MDD -47.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 6.0%, drawdown -94.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.0%, MDD -47.7%, Sharpe 0.47, 33% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 46.4%p (CAGR 9.0%, MDD -47.7%, exposure 33%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=57, k=2.1 |
9.0% | -47.7% | 0.47 | 0.19 | 14.7x | 103 | 33% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=19, mult=3.5 |
6.7% | -55.6% | 0.40 | 0.12 | 7.6x | 87 | 26% |
| EMA 크로스오버 fast=18, slow=57 |
7.9% | -61.9% | 0.40 | 0.13 | 10.7x | 141 | 52% |
| SMA 크로스오버 fast=15, slow=70 |
7.7% | -64.4% | 0.39 | 0.12 | 10.0x | 135 | 52% |
| Supertrend period=13, mult=4.9 |
7.0% | -64.1% | 0.37 | 0.11 | 8.2x | 109 | 51% |
| ROC 모멘텀 n=75, threshold=0.11 |
6.4% | -61.1% | 0.36 | 0.10 | 6.9x | 301 | 37% |
| Donchian 채널 돌파 entryN=33, exitN=33 |
6.5% | -71.4% | 0.36 | 0.09 | 7.1x | 111 | 49% |
| ADX / DI 방향성 period=39, threshold=26 |
2.1% | -23.1% | 0.30 | 0.09 | 1.9x | 12 | 3% |
| MACD fast=15, slow=54, signal=6 |
1.4% | -89.4% | 0.21 | 0.02 | 1.5x | 539 | 52% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-0.3% | -88.8% | 0.16 | -0.00 | 0.9x | 565 | 52% |
| Buy and hold | 6.0% | -94.1% | 0.37 | 0.06 | 6.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 57-day average (2.1× volatility)
- Sell — Sell when the close falls back to the 57-day middle average