Trend-Following Backtester · Guide · backtest 한국어
equity · AU
BHP Group Ltd backtest
10 trend-following strategies were compared on the full daily history of BHP Group Ltd. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.2%, drawdown -69.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.1%, MDD -69.3%, Sharpe 0.45, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.13 |
9.1% | -69.3% | 0.45 | 0.13 | 28.4x | 5 | 100% |
| Donchian 채널 돌파 entryN=42, exitN=63 |
5.7% | -53.5% | 0.37 | 0.11 | 8.5x | 103 | 65% |
| EMA 크로스오버 fast=33, slow=259 |
5.5% | -44.9% | 0.36 | 0.12 | 7.8x | 53 | 67% |
| SMA 크로스오버 fast=25, slow=213 |
4.1% | -44.8% | 0.30 | 0.09 | 4.7x | 73 | 61% |
| 볼린저 밴드 돌파 n=11, k=2.9 |
1.8% | -38.4% | 0.25 | 0.05 | 2.0x | 60 | 15% |
| ADX / DI 방향성 period=16, threshold=46 |
1.5% | -38.7% | 0.22 | 0.04 | 1.8x | 60 | 15% |
| Supertrend period=42, mult=5 |
2.1% | -66.7% | 0.20 | 0.03 | 2.2x | 186 | 57% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=30, mult=3 |
0.8% | -63.4% | 0.12 | 0.01 | 1.3x | 126 | 20% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-1.1% | -81.3% | 0.04 | -0.01 | 0.7x | 525 | 53% |
| MACD fast=10, slow=50, signal=11 |
-2.6% | -81.9% | -0.05 | -0.03 | 0.4x | 601 | 49% |
| Buy and hold | 9.2% | -69.3% | 0.45 | 0.13 | 29.4x | 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 1-day return is greater than -13%
- Sell — Sell when the 1-day return drops to -13% or below