Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Capricorn Metals Ltd backtest
10 trend-following strategies were compared on the full daily history of Capricorn Metals Ltd. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 28.9%, MDD -63.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 15.0%, drawdown -96.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 28.9%, MDD -63.4%, Sharpe 0.63, 28% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 13.9%p higher than buy and hold, while drawdown improves by 32.9%p (CAGR 28.9%, MDD -63.4%, exposure 28%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=38, threshold=19 |
28.9% | -63.4% | 0.63 | 0.46 | 99.7x | 42 | 28% |
| SMA 크로스오버 fast=62, slow=184 |
23.7% | -85.9% | 0.58 | 0.28 | 47.8x | 23 | 52% |
| EMA 크로스오버 fast=59, slow=289 |
23.4% | -87.7% | 0.58 | 0.27 | 45.6x | 9 | 57% |
| Donchian 채널 돌파 entryN=124, exitN=81 |
15.2% | -81.6% | 0.47 | 0.19 | 13.1x | 21 | 47% |
| ROC 모멘텀 n=104, threshold=0.13 |
13.8% | -92.6% | 0.46 | 0.15 | 10.5x | 157 | 43% |
| 볼린저 밴드 돌파 n=58, k=3.5 |
12.0% | -73.0% | 0.40 | 0.16 | 7.8x | 24 | 14% |
| Parabolic SAR step=0.025, maxStep=0.16 |
5.5% | -86.8% | 0.37 | 0.06 | 2.6x | 328 | 46% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=16, mult=3.5 |
8.0% | -78.8% | 0.35 | 0.10 | 4.0x | 73 | 27% |
| Supertrend period=25, mult=3.5 |
1.5% | -87.1% | 0.32 | 0.02 | 1.3x | 159 | 52% |
| MACD fast=14, slow=17, signal=10 |
-1.2% | -91.2% | 0.31 | -0.01 | 0.8x | 367 | 49% |
| Buy and hold | 15.0% | -96.3% | 0.57 | 0.16 | 12.6x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 38-day) is ≥ 19
- Sell — Sell when direction flips or the trend weakens (ADX < 19)