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 21.2%, MDD -67.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 24.2%, 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 21.2%, MDD -67.6%, exposure 51%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 13.9%p lower than buy and hold, while drawdown improves by 59.7%p (CAGR 21.2%, 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% |
| SMA 크로스오버 fast=23, slow=90 |
21.2% | -67.6% | 0.62 | 0.31 | 75.7x | 75 | 51% |
| 볼린저 밴드 돌파 n=57, k=3 |
17.7% | -63.6% | 0.60 | 0.28 | 39.3x | 39 | 19% |
| Donchian 채널 돌파 entryN=56, exitN=56 |
19.5% | -71.9% | 0.59 | 0.27 | 54.8x | 51 | 54% |
| EMA 크로스오버 fast=26, slow=51 |
17.8% | -79.5% | 0.56 | 0.22 | 39.5x | 109 | 51% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=17, mult=3.4 |
14.2% | -80.6% | 0.51 | 0.18 | 19.9x | 81 | 25% |
| ROC 모멘텀 n=112, threshold=0.11 |
11.5% | -85.3% | 0.45 | 0.13 | 11.5x | 239 | 37% |
| Parabolic SAR step=0.04, maxStep=0.1 |
9.3% | -91.9% | 0.42 | 0.10 | 7.4x | 507 | 49% |
| MACD fast=16, slow=38, signal=13 |
4.1% | -92.4% | 0.33 | 0.04 | 2.5x | 321 | 50% |
| Supertrend period=15, mult=4.2 |
3.0% | -94.4% | 0.30 | 0.03 | 1.9x | 131 | 54% |
| Buy and hold | 24.2% | -95.5% | 0.64 | 0.25 | 131.1x | 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)