Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Deterra Royalties Ltd backtest
10 trend-following strategies were compared on the full daily history of Deterra Royalties Ltd. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.5%, MDD -7.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR -2.0%, drawdown -40.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.0%, MDD -9.0%, Sharpe 0.22, 4% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 31.7%p (CAGR 0.5%, MDD -7.9%, exposure 4%).
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=24, threshold=23 |
1.0% | -9.0% | 0.22 | 0.11 | 1.1x | 6 | 4% |
| ROC 모멘텀 Hold-like · Exposure 99% n=4, threshold=-0.09 |
1.0% | -41.0% | 0.17 | 0.02 | 1.1x | 15 | 99% |
| 볼린저 밴드 돌파 n=14, k=2.7 |
0.5% | -7.9% | 0.12 | 0.06 | 1.0x | 6 | 4% |
| SMA 크로스오버 fast=56, slow=66 |
-3.0% | -30.3% | -0.07 | -0.10 | 0.8x | 36 | 51% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=14, mult=4 |
-0.8% | -8.5% | -0.16 | -0.09 | 1.0x | 2 | 2% |
| MACD fast=11, slow=25, signal=17 |
-4.1% | -34.5% | -0.16 | -0.12 | 0.8x | 82 | 50% |
| Supertrend period=18, mult=3.5 |
-6.1% | -45.8% | -0.28 | -0.13 | 0.7x | 34 | 48% |
| EMA 크로스오버 fast=39, slow=104 |
-8.3% | -45.0% | -0.39 | -0.19 | 0.6x | 21 | 49% |
| Donchian 채널 돌파 entryN=14, exitN=45 |
-11.3% | -57.5% | -0.43 | -0.20 | 0.5x | 30 | 71% |
| Parabolic SAR step=0.025, maxStep=0.26 |
-11.0% | -54.4% | -0.55 | -0.20 | 0.5x | 144 | 49% |
| Buy and hold | -2.0% | -40.6% | 0.06 | -0.05 | 0.9x | 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, 24-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)