Trend-Following Backtester · Guide · backtest 한국어

equity · AU

Liontown Limited backtest

10 trend-following strategies were compared on the full daily history of Liontown Limited. 9 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 20.4%, MDD -49.3%).

Data 2006-12-21 ~ 2026-07-31daily bars 4,957 (19.6 years)Costs 0.5%Venue ASXMonthly snapshot 2026-07-31

Results by strategy

9 of 10 beat buy and hold (CAGR 10.8%, drawdown -98.5%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 20.4%, MDD -49.3%, Sharpe 0.59, 13% exposure.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.7%p higher than buy and hold, while drawdown improves by 49.2%p (CAGR 20.4%, MDD -49.3%, exposure 13%).

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=27, threshold=34
20.4%-49.3%0.590.4138.3x2613%
Parabolic SAR
step=0.01, maxStep=0.26
19.6%-89.8%0.590.2233.3x18646%
Donchian 채널 돌파
entryN=73, exitN=51
19.8%-80.7%0.590.2534.8x4243%
MACD
fast=12, slow=65, signal=28
16.2%-93.3%0.570.1719.1x18449%
ROC 모멘텀
n=81, threshold=0.06
16.9%-92.3%0.560.1821.3x19843%
볼린저 밴드 돌파
n=48, k=3
17.1%-82.5%0.540.2121.9x5623%
SMA 크로스오버
fast=7, slow=86
14.7%-86.1%0.540.1714.7x9647%
EMA 크로스오버
fast=36, slow=108
15.1%-84.1%0.530.1815.8x3647%
Supertrend
period=25, mult=4.9
11.1%-97.3%0.500.117.9x10447%
Keltner 채널 돌파
emaPeriod=57, atrPeriod=13, mult=2.3
5.9%-98.1%0.400.063.1x10235%
Buy and hold10.8%-98.5%0.620.117.4x1100%
0.1 1x 10x 2007 2010 2013 2016 2019 2022 2025 ADX / DI 방향성Buy and hold
ADX / DI 방향성: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -25% -49% -74% -99% 2007 2010 2013 2016 2019 2022 2025 Buy and holdADX / DI 방향성
ADX / DI 방향성 maximum drawdown -49.3% (2019-07-22 → 2019-08-30), recovered after 535 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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