Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Resolute Mining Limited backtest
10 trend-following strategies were compared on the full daily history of Resolute Mining Limited. 9 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.2%, MDD -67.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR 0.7%, drawdown -99.5%).
Sharpe leader (same as main): Parabolic SAR — CAGR 7.4%, MDD -92.8%, Sharpe 0.36, 48% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 7.4%, MDD -94.2%, exposure 47%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 6.7%p (CAGR 5.2%, MDD -67.6%, exposure 14%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.005, maxStep=0.32 |
7.4% | -92.8% | 0.36 | 0.08 | 15.7x | 232 | 48% |
| EMA 크로스오버 fast=12, slow=23 |
7.4% | -94.2% | 0.36 | 0.08 | 16.0x | 304 | 47% |
| SMA 크로스오버 fast=17, slow=46 |
7.1% | -92.1% | 0.36 | 0.08 | 14.3x | 209 | 48% |
| 볼린저 밴드 돌파 n=54, k=2 |
7.1% | -87.6% | 0.36 | 0.08 | 14.0x | 148 | 32% |
| ROC 모멘텀 n=82, threshold=0.09 |
6.3% | -85.4% | 0.34 | 0.07 | 10.7x | 308 | 38% |
| Donchian 채널 돌파 entryN=26, exitN=66 |
5.2% | -93.8% | 0.34 | 0.06 | 7.0x | 123 | 67% |
| ADX / DI 방향성 period=32, threshold=37 |
5.2% | -67.6% | 0.33 | 0.08 | 7.1x | 40 | 14% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=24, mult=3.8 |
5.3% | -73.9% | 0.32 | 0.07 | 7.4x | 88 | 17% |
| Supertrend period=9, mult=4.4 |
5.1% | -95.5% | 0.31 | 0.05 | 6.8x | 186 | 49% |
| MACD fast=24, slow=41, signal=24 |
-2.5% | -97.3% | 0.16 | -0.03 | 0.4x | 336 | 50% |
| Buy and hold | 0.7% | -99.5% | 0.31 | 0.01 | 1.3x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots