Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Sandfire Resources Ltd backtest
10 trend-following strategies were compared on the full daily history of Sandfire Resources Ltd. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 20.3%, MDD -67.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 23.3%, drawdown -95.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 10.3%, MDD -35.9%, Sharpe 0.64, 2% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 20.3%, MDD -67.6%, exposure 51%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 13.0%p lower than buy and hold, while drawdown improves by 59.7%p (CAGR 20.3%, MDD -67.6%, exposure 51%).
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=39, threshold=36 |
10.3% | -35.9% | 0.64 | 0.29 | 9.0x | 2 | 2% |
| 볼린저 밴드 돌파 n=57, k=3 |
18.1% | -63.6% | 0.61 | 0.28 | 41.6x | 38 | 19% |
| SMA 크로스오버 fast=23, slow=90 |
20.3% | -67.6% | 0.61 | 0.30 | 62.5x | 75 | 51% |
| Donchian 채널 돌파 entryN=56, exitN=56 |
18.5% | -71.9% | 0.58 | 0.26 | 45.3x | 51 | 54% |
| EMA 크로스오버 fast=26, slow=51 |
16.9% | -79.5% | 0.55 | 0.21 | 33.1x | 108 | 51% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=17, mult=3.4 |
14.2% | -80.6% | 0.51 | 0.18 | 19.5x | 80 | 25% |
| ROC 모멘텀 n=112, threshold=0.11 |
11.2% | -85.3% | 0.44 | 0.13 | 10.9x | 238 | 37% |
| Parabolic SAR step=0.04, maxStep=0.1 |
8.4% | -91.9% | 0.40 | 0.09 | 6.1x | 507 | 49% |
| MACD fast=16, slow=38, signal=13 |
3.3% | -92.4% | 0.31 | 0.04 | 2.1x | 320 | 50% |
| Supertrend period=15, mult=4.2 |
2.1% | -94.4% | 0.28 | 0.02 | 1.6x | 131 | 54% |
| Buy and hold | 23.3% | -95.5% | 0.63 | 0.24 | 108.3x | 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, 39-day) is ≥ 36
- Sell — Sell when direction flips or the trend weakens (ADX < 36)