Trend-Following Backtester · Guide · backtest 한국어
equity · AU
EQ Resources Limited backtest
10 trend-following strategies were compared on the full daily history of EQ Resources Limited. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.0%, MDD -76.8%).
Results by strategy
6 of 10 beat buy and hold (CAGR 1.9%, drawdown -98.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.0%, MDD -81.2%, Sharpe 0.52, 46% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.1%p higher than buy and hold, while drawdown improves by 17.7%p (CAGR 8.0%, MDD -76.8%, exposure 19%).
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=39, slow=57 |
13.0% | -81.2% | 0.52 | 0.16 | 11.7x | 111 | 46% |
| Donchian 채널 돌파 entryN=57, exitN=80 |
8.2% | -90.7% | 0.48 | 0.09 | 4.9x | 39 | 55% |
| MACD fast=37, slow=51, signal=38 |
6.6% | -88.3% | 0.47 | 0.07 | 3.6x | 116 | 50% |
| EMA 크로스오버 fast=55, slow=107 |
8.6% | -83.5% | 0.44 | 0.10 | 5.3x | 31 | 42% |
| ADX / DI 방향성 period=36, threshold=19 |
8.0% | -76.8% | 0.39 | 0.10 | 4.7x | 52 | 19% |
| 볼린저 밴드 돌파 n=49, k=2 |
5.1% | -92.4% | 0.36 | 0.06 | 2.7x | 72 | 24% |
| ROC 모멘텀 n=119, threshold=0.06 |
-1.9% | -95.5% | 0.29 | -0.02 | 0.7x | 189 | 42% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=25, mult=3.8 |
1.2% | -92.4% | 0.28 | 0.01 | 1.3x | 60 | 21% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-8.0% | -97.9% | 0.23 | -0.08 | 0.2x | 116 | 44% |
| Supertrend period=8, mult=5 |
-23.6% | -100.0% | 0.03 | -0.24 | 0.0x | 117 | 53% |
| Buy and hold | 1.9% | -98.9% | 0.56 | 0.02 | 1.5x | 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 39-day average price crosses above the 57-day average
- Sell — Sell (to cash) when the 39-day average falls below the 57-day average