Trend-Following Backtester · Guide · backtest 한국어

equity · AU

Capricorn Metals Ltd backtest

10 trend-following strategies were compared on the full daily history of Capricorn Metals Ltd. 5 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 29.0%, MDD -63.4%).

Data 2008-07-07 ~ 2026-07-31daily bars 4,572 (18.1 years)Costs 0.5%Venue ASXMonthly snapshot 2026-07-31

Results by strategy

5 of 10 beat buy and hold (CAGR 13.4%, drawdown -96.3%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 29.0%, MDD -63.4%, Sharpe 0.63, 29% exposure.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 15.6%p higher than buy and hold, while drawdown improves by 32.9%p (CAGR 29.0%, MDD -63.4%, exposure 29%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ADX / DI 방향성
period=38, threshold=19
29.0%-63.4%0.630.4699.7x4229%
SMA 크로스오버
fast=62, slow=184
23.6%-85.9%0.580.2846.1x2252%
EMA 크로스오버
fast=59, slow=289
21.8%-87.7%0.560.2535.3x956%
Donchian 채널 돌파
entryN=124, exitN=81
15.2%-81.6%0.470.1912.8x2047%
ROC 모멘텀
n=104, threshold=0.13
13.6%-92.6%0.460.1510.0x15643%
볼린저 밴드 돌파
n=58, k=3.5
12.1%-73.0%0.400.177.8x2414%
Keltner 채널 돌파
emaPeriod=49, atrPeriod=16, mult=3.5
7.7%-78.8%0.350.103.8x7227%
Parabolic SAR
step=0.025, maxStep=0.16
3.8%-86.8%0.340.042.0x32746%
Supertrend
period=25, mult=3.5
0.7%-87.1%0.310.011.1x15852%
MACD
fast=14, slow=17, signal=10
-2.6%-91.2%0.30-0.030.6x36749%
Buy and hold13.4%-96.3%0.550.149.8x1100%
0.1 1x 10x 100x 2009 2012 2015 2018 2021 2024 ADX / DI 방향성Buy and hold
ADX / DI 방향성: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -24% -48% -72% -96% 2009 2012 2015 2018 2021 2024 Buy and holdADX / DI 방향성
ADX / DI 방향성 maximum drawdown -63.4% (2009-09-29 → 2010-06-29), recovered after 293 days.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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