Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Anglo American plc backtest
10 trend-following strategies were compared on the full daily history of Anglo American plc. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.6%, MDD -54.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.1%, drawdown -94.0%).
Sharpe leader (same as main): Supertrend — CAGR 7.6%, MDD -64.4%, Sharpe 0.40, 53% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.6%, MDD -54.8%, exposure 55%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 29.6%p (CAGR 7.6%, MDD -54.8%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=25, mult=4.9 |
7.6% | -64.4% | 0.40 | 0.12 | 7.3x | 83 | 53% |
| SMA 크로스오버 fast=24, slow=57 |
7.6% | -54.8% | 0.40 | 0.14 | 7.4x | 121 | 55% |
| 볼린저 밴드 돌파 n=13, k=3 |
2.0% | -10.1% | 0.39 | 0.20 | 1.7x | 16 | 2% |
| EMA 크로스오버 fast=37, slow=83 |
7.3% | -54.9% | 0.39 | 0.13 | 6.9x | 65 | 60% |
| Donchian 채널 돌파 entryN=18, exitN=60 |
5.9% | -77.2% | 0.34 | 0.08 | 4.8x | 83 | 76% |
| ROC 모멘텀 n=75, threshold=-0.04 |
3.3% | -72.2% | 0.26 | 0.05 | 2.4x | 269 | 64% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=28, mult=1.4 |
0.9% | -72.3% | 0.16 | 0.01 | 1.3x | 185 | 44% |
| MACD fast=15, slow=70, signal=17 |
-3.5% | -84.9% | 0.04 | -0.04 | 0.4x | 325 | 52% |
| ADX / DI 방향성 period=18, threshold=23 |
-1.5% | -67.4% | 0.00 | -0.02 | 0.7x | 142 | 17% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-6.1% | -96.6% | -0.06 | -0.06 | 0.2x | 507 | 52% |
| Buy and hold | 6.1% | -94.0% | 0.35 | 0.06 | 5.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 25-day volatility, 4.9× band
- Sell — Sell when price drops below the trend line (flips down)