Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Fortescue Ltd backtest
10 trend-following strategies were compared on the full daily history of Fortescue Ltd. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
3 of 10 beat buy and hold (CAGR 13.5%, drawdown -98.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.4%, MDD -82.1%, Sharpe 0.53, 52% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=75, slow=166 |
18.4% | -82.1% | 0.53 | 0.22 | 675.5x | 60 | 52% |
| EMA 크로스오버 fast=66, slow=182 |
18.0% | -92.9% | 0.51 | 0.19 | 581.6x | 44 | 53% |
| 볼린저 밴드 돌파 n=59, k=1.8 |
12.7% | -94.6% | 0.49 | 0.13 | 100.1x | 128 | 33% |
| ROC 모멘텀 n=168, threshold=0.1 |
13.9% | -91.1% | 0.47 | 0.15 | 147.9x | 182 | 46% |
| Donchian 채널 돌파 entryN=73, exitN=79 |
9.8% | -99.2% | 0.42 | 0.10 | 37.1x | 78 | 56% |
| MACD fast=14, slow=24, signal=9 |
5.9% | -98.5% | 0.37 | 0.06 | 9.2x | 645 | 51% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=22, mult=3.2 |
2.5% | -99.8% | 0.28 | 0.02 | 2.6x | 134 | 39% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-3.3% | -99.4% | 0.22 | -0.03 | 0.3x | 459 | 50% |
| ADX / DI 방향성 period=28, threshold=7 |
-4.2% | -99.9% | 0.20 | -0.04 | 0.2x | 398 | 53% |
| Supertrend period=9, mult=4.8 |
-5.9% | -100.0% | 0.15 | -0.06 | 0.1x | 190 | 52% |
| Buy and hold | 13.5% | -98.8% | 0.51 | 0.14 | 131.1x | 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 75-day average price crosses above the 166-day average
- Sell — Sell (to cash) when the 75-day average falls below the 166-day average