Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Mineral Resources Limited backtest
10 trend-following strategies were compared on the full daily history of Mineral Resources Limited. 5 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 21.5%, MDD -43.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR 21.7%, drawdown -85.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 24.8%, MDD -47.7%, Sharpe 0.95, 46% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 37.4%p (CAGR 21.5%, MDD -43.1%, exposure 38%).
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=29, threshold=12 |
24.8% | -47.7% | 0.95 | 0.52 | 84.3x | 176 | 46% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=25, mult=3 |
21.5% | -43.1% | 0.91 | 0.50 | 49.2x | 68 | 38% |
| 볼린저 밴드 돌파 n=52, k=1.9 |
21.7% | -49.2% | 0.90 | 0.44 | 50.9x | 78 | 39% |
| ROC 모멘텀 n=91, threshold=0.07 |
23.0% | -48.7% | 0.86 | 0.47 | 62.8x | 129 | 50% |
| SMA 크로스오버 fast=5, slow=111 |
23.5% | -59.1% | 0.85 | 0.40 | 68.3x | 82 | 56% |
| Donchian 채널 돌파 entryN=80, exitN=62 |
23.7% | -47.4% | 0.85 | 0.50 | 70.2x | 30 | 56% |
| EMA 크로스오버 fast=27, slow=76 |
21.5% | -50.4% | 0.79 | 0.43 | 49.2x | 56 | 58% |
| Supertrend period=14, mult=1.9 |
21.2% | -61.4% | 0.79 | 0.35 | 46.9x | 268 | 55% |
| Parabolic SAR step=0.02, maxStep=0.2 |
16.5% | -57.2% | 0.65 | 0.29 | 21.2x | 399 | 53% |
| MACD fast=17, slow=26, signal=11 |
10.2% | -66.9% | 0.46 | 0.15 | 6.9x | 305 | 52% |
| Buy and hold | 21.7% | -85.0% | 0.66 | 0.25 | 50.6x | 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, 29-day) is ≥ 12
- Sell — Sell when direction flips or the trend weakens (ADX < 12)