Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Santos Limited backtest
10 trend-following strategies were compared on the full daily history of Santos Limited. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 3.0%, drawdown -84.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.3%, MDD -79.9%, Sharpe 0.29, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 Hold-like · Exposure 98% n=9, threshold=-0.11 |
4.3% | -79.9% | 0.29 | 0.05 | 5.1x | 123 | 98% |
| Donchian 채널 돌파 entryN=9, exitN=79 |
0.6% | -72.5% | 0.16 | 0.01 | 1.3x | 175 | 87% |
| ADX / DI 방향성 period=31, threshold=32 |
0.9% | -41.4% | 0.14 | 0.02 | 1.4x | 54 | 15% |
| SMA 크로스오버 fast=19, slow=170 |
0.8% | -64.4% | 0.14 | 0.01 | 1.3x | 93 | 52% |
| EMA 크로스오버 fast=15, slow=313 |
-0.3% | -65.0% | 0.09 | -0.00 | 0.9x | 81 | 55% |
| Supertrend period=11, mult=4.4 |
-1.4% | -67.9% | 0.04 | -0.02 | 0.6x | 185 | 49% |
| 볼린저 밴드 돌파 n=57, k=2.6 |
-1.0% | -65.7% | -0.00 | -0.02 | 0.7x | 94 | 22% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=14, mult=3.9 |
-1.5% | -57.4% | -0.04 | -0.03 | 0.6x | 110 | 22% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-4.0% | -88.7% | -0.06 | -0.04 | 0.2x | 265 | 53% |
| MACD fast=19, slow=73, signal=10 |
-7.3% | -97.6% | -0.21 | -0.08 | 0.1x | 493 | 50% |
| Buy and hold | 3.0% | -84.8% | 0.25 | 0.04 | 3.1x | 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 9-day return is greater than -11%
- Sell — Sell when the 9-day return drops to -11% or below