Trend-Following Backtester · Guide · backtest 한국어
equity · AU
South32 Ltd. backtest
10 trend-following strategies were compared on the full daily history of South32 Ltd.. 5 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 7.9%, MDD -33.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR 7.4%, drawdown -62.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 14.0%, MDD -49.1%, Sharpe 0.61, 58% exposure.
Return/drawdown alternative: Supertrend — CAGR is 6.6%p higher than buy and hold, while drawdown improves by 13.3%p (CAGR 7.9%, MDD -33.1%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=137, threshold=-0.03 |
14.0% | -49.1% | 0.61 | 0.28 | 4.3x | 53 | 58% |
| Donchian 채널 돌파 entryN=20, exitN=76 |
11.5% | -56.7% | 0.50 | 0.20 | 3.4x | 29 | 75% |
| SMA 크로스오버 fast=17, slow=135 |
8.4% | -46.6% | 0.43 | 0.18 | 2.5x | 24 | 56% |
| EMA 크로스오버 fast=48, slow=176 |
8.0% | -56.9% | 0.42 | 0.14 | 2.4x | 13 | 55% |
| Supertrend period=9, mult=3.9 |
7.9% | -33.1% | 0.42 | 0.24 | 2.3x | 49 | 52% |
| ADX / DI 방향성 period=41, threshold=11 |
5.4% | -30.4% | 0.34 | 0.18 | 1.8x | 74 | 38% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=21, mult=3.7 |
3.3% | -38.8% | 0.26 | 0.08 | 1.4x | 28 | 32% |
| 볼린저 밴드 돌파 n=40, k=1.9 |
3.1% | -46.8% | 0.25 | 0.07 | 1.4x | 66 | 33% |
| MACD fast=12, slow=37, signal=15 |
-0.5% | -61.1% | 0.11 | -0.01 | 0.9x | 161 | 49% |
| Parabolic SAR step=0.025, maxStep=0.12 |
-8.1% | -76.8% | -0.20 | -0.11 | 0.4x | 249 | 52% |
| Buy and hold | 7.4% | -62.4% | 0.38 | 0.12 | 2.2x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 137-day return is greater than -3%
- Sell — Sell when the 137-day return drops to -3% or below