Trend-Following Backtester · Guide · backtest 한국어
equity · US
Newmont Corporation backtest
10 trend-following strategies were compared on the full daily history of Newmont Corporation. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.5%, drawdown -78.4%).
Sharpe leader (same as main): Supertrend — CAGR 3.3%, MDD -72.9%, Sharpe 0.26, 53% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=18, mult=3.8 |
3.3% | -72.9% | 0.26 | 0.05 | 4.5x | 253 | 53% |
| ADX / DI 방향성 period=26, threshold=39 |
0.8% | -13.3% | 0.21 | 0.06 | 1.5x | 4 | 1% |
| MACD fast=24, slow=25, signal=24 |
1.5% | -85.5% | 0.19 | 0.02 | 2.0x | 501 | 52% |
| Donchian 채널 돌파 entryN=10, exitN=30 |
0.8% | -94.9% | 0.19 | 0.01 | 1.4x | 305 | 71% |
| SMA 크로스오버 fast=27, slow=95 |
0.4% | -91.2% | 0.16 | 0.00 | 1.2x | 149 | 53% |
| EMA 크로스오버 fast=48, slow=58 |
-0.8% | -95.2% | 0.11 | -0.01 | 0.7x | 143 | 53% |
| 볼린저 밴드 돌파 n=41, k=2 |
-0.0% | -87.2% | 0.11 | -0.00 | 1.0x | 255 | 32% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=23, mult=4 |
-0.4% | -77.7% | 0.07 | -0.00 | 0.8x | 121 | 21% |
| ROC 모멘텀 n=24, threshold=-0.04 |
-2.6% | -98.1% | 0.07 | -0.03 | 0.3x | 943 | 67% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-4.0% | -96.3% | -0.01 | -0.04 | 0.2x | 801 | 49% |
| Buy and hold | 5.5% | -78.4% | 0.33 | 0.07 | 12.2x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 18-day volatility, 3.8× band
- Sell — Sell when price drops below the trend line (flips down)