Trend-Following Backtester · Guide · backtest 한국어
equity · AU
EQ Resources Limited backtest
10 trend-following strategies were compared on the full daily history of EQ Resources Limited. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.0%, MDD -76.8%).
Results by strategy
6 of 10 beat buy and hold (CAGR 4.5%, drawdown -98.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.8%, MDD -81.2%, Sharpe 0.55, 46% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.4%p higher than buy and hold, while drawdown improves by 17.7%p (CAGR 8.0%, MDD -76.8%, exposure 19%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=39, slow=57 |
15.8% | -81.2% | 0.55 | 0.19 | 19.6x | 111 | 46% |
| Donchian 채널 돌파 entryN=57, exitN=80 |
10.9% | -90.7% | 0.51 | 0.12 | 8.2x | 39 | 55% |
| MACD fast=37, slow=51, signal=38 |
7.8% | -88.3% | 0.49 | 0.09 | 4.6x | 117 | 50% |
| EMA 크로스오버 fast=55, slow=107 |
11.4% | -83.5% | 0.48 | 0.14 | 8.9x | 31 | 42% |
| ADX / DI 방향성 period=36, threshold=19 |
8.0% | -76.8% | 0.39 | 0.10 | 4.7x | 52 | 19% |
| 볼린저 밴드 돌파 n=49, k=2 |
6.3% | -92.4% | 0.38 | 0.07 | 3.4x | 73 | 24% |
| ROC 모멘텀 n=119, threshold=0.06 |
-0.2% | -95.5% | 0.31 | -0.00 | 1.0x | 193 | 43% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=25, mult=3.8 |
1.3% | -92.4% | 0.28 | 0.01 | 1.3x | 61 | 21% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-6.9% | -97.9% | 0.25 | -0.07 | 0.2x | 117 | 44% |
| Supertrend period=8, mult=5 |
-21.6% | -100.0% | 0.07 | -0.22 | 0.0x | 117 | 53% |
| Buy and hold | 4.5% | -98.9% | 0.58 | 0.05 | 2.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 39-day average price crosses above the 57-day average
- Sell — Sell (to cash) when the 39-day average falls below the 57-day average