Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Mineral Resources Limited backtest
10 trend-following strategies were compared on the full daily history of Mineral Resources Limited. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 23.6%, MDD -47.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 22.2%, drawdown -85.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 25.0%, MDD -47.7%, Sharpe 0.95, 46% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 37.4%p (CAGR 23.6%, MDD -47.4%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=29, threshold=12 |
25.0% | -47.7% | 0.95 | 0.52 | 88.3x | 178 | 46% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=25, mult=3 |
21.4% | -43.1% | 0.91 | 0.50 | 49.2x | 68 | 38% |
| 볼린저 밴드 돌파 n=52, k=1.9 |
21.6% | -49.2% | 0.90 | 0.44 | 50.9x | 78 | 39% |
| ROC 모멘텀 n=91, threshold=0.07 |
23.3% | -48.7% | 0.87 | 0.48 | 67.3x | 134 | 50% |
| SMA 크로스오버 fast=5, slow=111 |
23.3% | -59.1% | 0.85 | 0.40 | 67.8x | 83 | 56% |
| Donchian 채널 돌파 entryN=80, exitN=62 |
23.6% | -47.4% | 0.85 | 0.50 | 70.2x | 30 | 56% |
| Supertrend period=14, mult=1.9 |
21.6% | -61.4% | 0.80 | 0.35 | 50.8x | 269 | 55% |
| EMA 크로스오버 fast=27, slow=76 |
21.4% | -50.4% | 0.79 | 0.42 | 49.0x | 57 | 58% |
| Parabolic SAR step=0.02, maxStep=0.2 |
16.7% | -57.2% | 0.66 | 0.29 | 22.3x | 402 | 53% |
| MACD fast=17, slow=26, signal=11 |
10.7% | -66.9% | 0.48 | 0.16 | 7.7x | 305 | 52% |
| Buy and hold | 22.2% | -85.0% | 0.67 | 0.26 | 56.4x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 29-day) is ≥ 12
- Sell — Sell when direction flips or the trend weakens (ADX < 12)