Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Whitehaven Coal Limited backtest
10 trend-following strategies were compared on the full daily history of Whitehaven Coal Limited. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 20.9%, MDD -45.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR 8.7%, drawdown -94.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 20.3%, MDD -50.5%, Sharpe 0.77, 38% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 20.9%, MDD -45.2%, exposure 49%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 11.5%p higher than buy and hold, while drawdown improves by 44.3%p (CAGR 20.9%, MDD -45.2%, exposure 49%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=21, mult=1.3 |
20.3% | -50.5% | 0.77 | 0.40 | 35.0x | 143 | 38% |
| EMA 크로스오버 fast=35, slow=119 |
20.9% | -45.2% | 0.74 | 0.46 | 38.4x | 24 | 49% |
| Donchian 채널 돌파 entryN=64, exitN=45 |
20.3% | -49.6% | 0.74 | 0.41 | 35.3x | 30 | 44% |
| ROC 모멘텀 n=134, threshold=0.03 |
19.0% | -49.7% | 0.70 | 0.38 | 28.3x | 84 | 47% |
| SMA 크로스오버 fast=38, slow=198 |
18.0% | -60.3% | 0.68 | 0.30 | 24.2x | 22 | 48% |
| ADX / DI 방향성 period=17, threshold=21 |
15.7% | -47.7% | 0.68 | 0.33 | 16.6x | 142 | 27% |
| 볼린저 밴드 돌파 n=46, k=1.3 |
16.5% | -56.7% | 0.66 | 0.29 | 18.8x | 105 | 39% |
| Supertrend period=11, mult=4.6 |
15.6% | -71.9% | 0.60 | 0.22 | 16.3x | 69 | 52% |
| MACD fast=16, slow=34, signal=15 |
10.0% | -79.4% | 0.44 | 0.13 | 6.2x | 251 | 51% |
| Parabolic SAR step=0.01, maxStep=0.16 |
7.3% | -72.1% | 0.38 | 0.10 | 3.9x | 253 | 51% |
| Buy and hold | 8.7% | -94.9% | 0.42 | 0.09 | 5.0x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 31-day average + 1.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 31-day average