Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Rio Tinto plc backtest
10 trend-following strategies were compared on the full daily history of Rio Tinto plc. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.5%, MDD -64.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.4%, drawdown -85.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.5%, MDD -64.2%, Sharpe 0.40, 79% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 20.9%p (CAGR 7.5%, MDD -64.2%, exposure 79%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=23, exitN=75 |
7.5% | -64.2% | 0.40 | 0.12 | 16.0x | 91 | 79% |
| 볼린저 밴드 돌파 n=34, k=3.5 |
1.6% | -17.9% | 0.27 | 0.09 | 1.8x | 14 | 4% |
| SMA 크로스오버 fast=36, slow=201 |
3.1% | -60.2% | 0.25 | 0.05 | 3.2x | 75 | 59% |
| EMA 크로스오버 fast=42, slow=141 |
2.8% | -63.8% | 0.23 | 0.04 | 2.8x | 85 | 62% |
| Supertrend period=12, mult=3.8 |
1.8% | -53.8% | 0.19 | 0.03 | 2.0x | 258 | 53% |
| ROC 모멘텀 n=110, threshold=0.12 |
0.2% | -68.8% | 0.10 | 0.00 | 1.1x | 333 | 33% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=21, mult=3.4 |
0.1% | -52.4% | 0.08 | 0.00 | 1.0x | 138 | 22% |
| ADX / DI 방향성 period=16, threshold=29 |
0.1% | -53.6% | 0.07 | 0.00 | 1.1x | 126 | 13% |
| MACD fast=34, slow=50, signal=17 |
-2.1% | -88.5% | 0.04 | -0.02 | 0.5x | 371 | 52% |
| Parabolic SAR step=0.02, maxStep=0.14 |
-7.0% | -95.0% | -0.19 | -0.07 | 0.1x | 817 | 52% |
| Buy and hold | 8.4% | -85.2% | 0.40 | 0.10 | 22.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 23 days
- Sell — Sell when price breaks below the lowest low of the last 75 days