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 13.4%, MDD -36.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -18.6%, drawdown -100.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 17.9%, MDD -48.7%, Sharpe 0.64, 21% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 36.5%p higher than buy and hold, while drawdown improves by 51.2%p (CAGR 13.4%, MDD -36.3%, exposure 18%).
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 |
17.9% | -48.7% | 0.64 | 0.37 | 21.3x | 58 | 21% |
| EMA 크로스오버 fast=5, slow=137 |
16.3% | -55.1% | 0.61 | 0.30 | 16.6x | 16 | 21% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=23, mult=2.4 |
13.4% | -36.3% | 0.56 | 0.37 | 10.4x | 24 | 18% |
| ROC 모멘텀 n=68, threshold=0.09 |
10.6% | -46.1% | 0.47 | 0.23 | 6.5x | 72 | 21% |
| SMA 크로스오버 fast=27, slow=40 |
4.2% | -94.4% | 0.38 | 0.04 | 2.2x | 64 | 23% |
| Supertrend period=27, mult=5 |
7.1% | -75.0% | 0.37 | 0.09 | 3.6x | 26 | 31% |
| Parabolic SAR step=0.04, maxStep=0.32 |
2.5% | -82.1% | 0.26 | 0.03 | 1.6x | 245 | 23% |
| Donchian 채널 돌파 entryN=20, exitN=58 |
-13.0% | -99.6% | 0.21 | -0.13 | 0.1x | 35 | 80% |
| 볼린저 밴드 돌파 n=54, k=1.4 |
-2.9% | -92.6% | 0.19 | -0.03 | 0.6x | 50 | 18% |
| MACD fast=11, slow=42, signal=4 |
-11.8% | -98.6% | 0.03 | -0.12 | 0.1x | 243 | 51% |
| Buy and hold | -18.6% | -100.0% | 0.17 | -0.19 | 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)