Trend-Following Backtester · Guide · backtest 한국어
equity · US
Hecla Mining Company backtest
10 trend-following strategies were compared on the full daily history of Hecla Mining Company. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.6%, MDD -34.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.5%, drawdown -98.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.4%, MDD -87.1%, Sharpe 0.33, 43% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.8%p higher than buy and hold, while drawdown improves by 11.5%p (CAGR 2.6%, MDD -34.3%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=26, slow=179 |
5.4% | -87.1% | 0.33 | 0.06 | 11.4x | 84 | 43% |
| EMA 크로스오버 fast=28, slow=92 |
5.2% | -87.6% | 0.33 | 0.06 | 10.3x | 114 | 43% |
| ADX / DI 방향성 period=38, threshold=31 |
2.6% | -34.3% | 0.29 | 0.08 | 3.4x | 4 | 1% |
| ROC 모멘텀 n=114, threshold=0.24 |
4.0% | -76.0% | 0.28 | 0.05 | 6.2x | 282 | 23% |
| Donchian 채널 돌파 entryN=154, exitN=73 |
3.3% | -82.7% | 0.27 | 0.04 | 4.4x | 48 | 31% |
| Supertrend period=24, mult=4.7 |
2.5% | -95.5% | 0.27 | 0.03 | 3.1x | 148 | 46% |
| 볼린저 밴드 돌파 n=48, k=2.5 |
3.4% | -82.8% | 0.26 | 0.04 | 4.6x | 130 | 21% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=14, mult=4 |
2.5% | -68.9% | 0.22 | 0.04 | 3.1x | 80 | 15% |
| MACD fast=17, slow=36, signal=17 |
-2.3% | -97.0% | 0.17 | -0.02 | 0.3x | 579 | 51% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-3.5% | -98.4% | 0.13 | -0.04 | 0.2x | 546 | 46% |
| Buy and hold | -0.5% | -98.6% | 0.31 | -0.00 | 0.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 26-day average price crosses above the 179-day average
- Sell — Sell (to cash) when the 26-day average falls below the 179-day average