Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Emerald Resources NL backtest
10 trend-following strategies were compared on the full daily history of Emerald Resources NL. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.9%, drawdown -99.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.9%, MDD -96.8%, Sharpe 0.29, 74% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 8.2%, MDD -79.4%, exposure 50%.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=21, exitN=58 |
6.9% | -96.8% | 0.29 | 0.07 | 8.5x | 127 | 74% |
| EMA 크로스오버 fast=7, slow=268 |
8.2% | -79.4% | 0.29 | 0.10 | 12.4x | 85 | 50% |
| SMA 크로스오버 fast=20, slow=107 |
1.6% | -86.8% | 0.28 | 0.02 | 1.7x | 87 | 44% |
| MACD fast=21, slow=50, signal=12 |
3.4% | -99.3% | 0.26 | 0.03 | 3.0x | 307 | 57% |
| ROC 모멘텀 n=140, threshold=-0.04 |
-0.3% | -98.3% | 0.24 | -0.00 | 0.9x | 269 | 62% |
| ADX / DI 방향성 period=34, threshold=10 |
-4.6% | -90.1% | 0.17 | -0.05 | 0.2x | 242 | 42% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=13, mult=4 |
-0.2% | -83.8% | 0.14 | -0.00 | 0.9x | 56 | 14% |
| 볼린저 밴드 돌파 n=35, k=3.3 |
-2.7% | -78.6% | 0.09 | -0.03 | 0.4x | 68 | 12% |
| Parabolic SAR step=0.025, maxStep=0.16 |
-10.1% | -99.1% | 0.07 | -0.10 | 0.0x | 427 | 50% |
| Supertrend period=13, mult=5 |
-12.8% | -99.8% | -0.01 | -0.13 | 0.0x | 131 | 45% |
| Buy and hold | 9.9% | -99.1% | 0.35 | 0.10 | 20.6x | 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 21 days
- Sell — Sell when price breaks below the lowest low of the last 58 days