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. 5 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 21.5%, MDD -43.1%).

Data 2006-07-28 ~ 2026-07-31daily bars 5,062 (20.0 years)Costs 0.5%Venue ASXMonthly snapshot 2026-07-31

Results by strategy

5 of 10 beat buy and hold (CAGR 21.7%, drawdown -85.0%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 24.8%, MDD -47.7%, Sharpe 0.95, 46% exposure.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 37.4%p (CAGR 21.5%, MDD -43.1%, exposure 38%).

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=29, threshold=12
24.8%-47.7%0.950.5284.3x17646%
Keltner 채널 돌파
emaPeriod=52, atrPeriod=25, mult=3
21.5%-43.1%0.910.5049.2x6838%
볼린저 밴드 돌파
n=52, k=1.9
21.7%-49.2%0.900.4450.9x7839%
ROC 모멘텀
n=91, threshold=0.07
23.0%-48.7%0.860.4762.8x12950%
SMA 크로스오버
fast=5, slow=111
23.5%-59.1%0.850.4068.3x8256%
Donchian 채널 돌파
entryN=80, exitN=62
23.7%-47.4%0.850.5070.2x3056%
EMA 크로스오버
fast=27, slow=76
21.5%-50.4%0.790.4349.2x5658%
Supertrend
period=14, mult=1.9
21.2%-61.4%0.790.3546.9x26855%
Parabolic SAR
step=0.02, maxStep=0.2
16.5%-57.2%0.650.2921.2x39953%
MACD
fast=17, slow=26, signal=11
10.2%-66.9%0.460.156.9x30552%
Buy and hold21.7%-85.0%0.660.2550.6x1100%
1x 10x 100x 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% -21% -43% -64% -85% 2007 2010 2013 2016 2019 2022 2025 Buy and holdADX / DI 방향성
ADX / DI 방향성 maximum drawdown -47.7% (2011-02-21 → 2016-02-02), recovered after 1,970 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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