Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Lindian Resources Limited backtest
10 trend-following strategies were compared on the full daily history of Lindian Resources Limited. 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 -0.9%, drawdown -99.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.0%, MDD -95.5%, Sharpe 0.51, 47% 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=49, slow=64 |
8.0% | -95.5% | 0.51 | 0.08 | 7.7x | 141 | 47% |
| EMA 크로스오버 fast=49, slow=156 |
-0.6% | -99.8% | 0.39 | -0.01 | 0.9x | 47 | 45% |
| ROC 모멘텀 n=136, threshold=-0.02 |
-6.8% | -99.9% | 0.36 | -0.07 | 0.2x | 285 | 51% |
| ADX / DI 방향성 period=30, threshold=43 |
2.9% | -88.0% | 0.32 | 0.03 | 2.1x | 14 | 7% |
| MACD fast=19, slow=38, signal=15 |
-19.3% | -100.0% | 0.24 | -0.19 | 0.0x | 300 | 54% |
| 볼린저 밴드 돌파 n=59, k=3.1 |
-3.7% | -98.2% | 0.23 | -0.04 | 0.4x | 66 | 20% |
| Donchian 채널 돌파 entryN=66, exitN=54 |
-18.2% | -100.0% | 0.14 | -0.18 | 0.0x | 71 | 44% |
| Parabolic SAR step=0.035, maxStep=0.24 |
-25.8% | -100.0% | 0.10 | -0.26 | 0.0x | 474 | 44% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=16, mult=3.8 |
-21.2% | -100.0% | -0.07 | -0.21 | 0.0x | 114 | 21% |
| Supertrend period=11, mult=5 |
-42.3% | -100.0% | -0.20 | -0.42 | 0.0x | 185 | 49% |
| Buy and hold | -0.9% | -99.8% | 0.61 | -0.01 | 0.8x | 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 49-day average price crosses above the 64-day average
- Sell — Sell (to cash) when the 49-day average falls below the 64-day average