Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Orica Limited backtest
10 trend-following strategies were compared on the full daily history of Orica Limited. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 4.3%, MDD -52.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 4.7%, drawdown -70.4%).
Sharpe leader (same as main): Supertrend — CAGR 4.3%, MDD -52.7%, Sharpe 0.32, 57% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 17.7%p (CAGR 4.3%, MDD -52.7%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=10, mult=5 |
4.3% | -52.7% | 0.32 | 0.08 | 5.0x | 127 | 57% |
| Donchian 채널 돌파 entryN=67, exitN=64 |
3.8% | -59.5% | 0.30 | 0.06 | 4.3x | 77 | 55% |
| ADX / DI 방향성 period=39, threshold=20 |
2.5% | -30.0% | 0.28 | 0.08 | 2.6x | 64 | 21% |
| EMA 크로스오버 fast=44, slow=320 |
2.7% | -66.7% | 0.24 | 0.04 | 2.8x | 55 | 56% |
| SMA 크로스오버 fast=52, slow=149 |
2.6% | -60.9% | 0.23 | 0.04 | 2.7x | 79 | 54% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=26, mult=3.7 |
1.7% | -27.1% | 0.23 | 0.06 | 1.9x | 60 | 17% |
| 볼린저 밴드 돌파 n=11, k=2.9 |
1.5% | -27.1% | 0.21 | 0.06 | 1.8x | 66 | 17% |
| ROC 모멘텀 n=121, threshold=0.04 |
1.2% | -66.6% | 0.15 | 0.02 | 1.6x | 262 | 45% |
| Parabolic SAR step=0.01, maxStep=0.34 |
-0.8% | -85.0% | 0.05 | -0.01 | 0.7x | 402 | 53% |
| MACD fast=19, slow=53, signal=24 |
-7.9% | -97.5% | -0.34 | -0.08 | 0.0x | 388 | 51% |
| Buy and hold | 4.7% | -70.4% | 0.30 | 0.07 | 5.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 10-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)