Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Iluka Resources Limited backtest
10 trend-following strategies were compared on the full daily history of Iluka Resources Limited. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.2%, drawdown -73.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.4%, MDD -68.4%, Sharpe 0.25, 55% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=56, slow=211 |
3.4% | -68.4% | 0.25 | 0.05 | 3.6x | 53 | 55% |
| Donchian 채널 돌파 entryN=58, exitN=79 |
2.1% | -72.7% | 0.22 | 0.03 | 2.2x | 74 | 60% |
| EMA 크로스오버 fast=74, slow=90 |
1.6% | -79.7% | 0.20 | 0.02 | 1.9x | 74 | 56% |
| ROC 모멘텀 n=191, threshold=0.11 |
2.0% | -73.4% | 0.20 | 0.03 | 2.2x | 234 | 36% |
| ADX / DI 방향성 period=31, threshold=21 |
1.0% | -69.5% | 0.15 | 0.01 | 1.5x | 100 | 24% |
| 볼린저 밴드 돌파 n=55, k=2.4 |
-0.0% | -75.6% | 0.10 | -0.00 | 1.0x | 114 | 30% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=9, mult=4 |
-0.2% | -69.7% | 0.09 | -0.00 | 0.9x | 96 | 26% |
| Supertrend period=29, mult=5 |
-2.0% | -85.2% | 0.06 | -0.02 | 0.5x | 152 | 55% |
| Parabolic SAR step=0.01, maxStep=0.34 |
-4.4% | -97.0% | -0.02 | -0.04 | 0.2x | 398 | 53% |
| MACD fast=14, slow=23, signal=7 |
-5.1% | -96.2% | -0.06 | -0.05 | 0.1x | 751 | 50% |
| Buy and hold | 4.2% | -73.7% | 0.30 | 0.06 | 4.8x | 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 56-day average price crosses above the 211-day average
- Sell — Sell (to cash) when the 56-day average falls below the 211-day average