Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Ora Banda Mining Ltd. backtest
10 trend-following strategies were compared on the full daily history of Ora Banda Mining Ltd.. 10 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 12.3%, MDD -46.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -17.3%, drawdown -100.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 17.7%, MDD -48.7%, Sharpe 0.64, 21% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 35.0%p higher than buy and hold, while drawdown improves by 51.2%p (CAGR 12.3%, MDD -46.0%, exposure 20%).
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=37, threshold=12 |
17.7% | -48.7% | 0.64 | 0.36 | 21.3x | 58 | 21% |
| EMA 크로스오버 fast=7, slow=132 |
16.1% | -58.6% | 0.60 | 0.28 | 16.7x | 17 | 22% |
| ROC 모멘텀 n=39, threshold=0.02 |
13.0% | -66.2% | 0.51 | 0.20 | 9.9x | 143 | 23% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=24, mult=1.1 |
12.3% | -46.0% | 0.51 | 0.27 | 8.8x | 49 | 20% |
| SMA 크로스오버 fast=29, slow=40 |
6.0% | -93.6% | 0.42 | 0.06 | 3.0x | 71 | 23% |
| Supertrend period=25, mult=5 |
7.0% | -75.8% | 0.37 | 0.09 | 3.6x | 27 | 31% |
| 볼린저 밴드 돌파 n=45, k=1 |
1.7% | -91.9% | 0.32 | 0.02 | 1.4x | 67 | 20% |
| Donchian 채널 돌파 entryN=21, exitN=59 |
-10.6% | -99.5% | 0.26 | -0.11 | 0.1x | 33 | 80% |
| Parabolic SAR step=0.04, maxStep=0.32 |
2.0% | -82.1% | 0.25 | 0.02 | 1.5x | 252 | 23% |
| MACD fast=6, slow=23, signal=7 |
-15.9% | -98.7% | 0.03 | -0.16 | 0.0x | 280 | 76% |
| Buy and hold | -17.3% | -100.0% | 0.20 | -0.17 | 0.0x | 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, 37-day) is ≥ 12
- Sell — Sell when direction flips or the trend weakens (ADX < 12)