Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Northern Star Resources Ltd backtest
10 trend-following strategies were compared on the full daily history of Northern Star Resources Ltd. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 22.2%, MDD -60.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 24.1%, drawdown -95.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.2%, MDD -60.7%, Sharpe 0.63, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.8%p lower than buy and hold, while drawdown improves by 34.8%p (CAGR 22.2%, MDD -60.7%, exposure 58%).
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=40, slow=92 |
22.2% | -60.7% | 0.63 | 0.37 | 94.1x | 64 | 58% |
| EMA 크로스오버 fast=59, slow=210 |
21.1% | -68.3% | 0.63 | 0.31 | 75.3x | 24 | 65% |
| Donchian 채널 돌파 entryN=80, exitN=77 |
21.0% | -72.4% | 0.61 | 0.29 | 74.8x | 36 | 59% |
| ADX / DI 방향성 period=49, threshold=21 |
6.5% | -34.9% | 0.40 | 0.19 | 4.2x | 8 | 5% |
| ROC 모멘텀 n=86, threshold=-0.02 |
6.4% | -96.0% | 0.38 | 0.07 | 4.1x | 237 | 63% |
| 볼린저 밴드 돌파 n=53, k=1.5 |
7.2% | -82.1% | 0.37 | 0.09 | 4.9x | 128 | 38% |
| Parabolic SAR step=0.005, maxStep=0.34 |
5.4% | -92.6% | 0.35 | 0.06 | 3.3x | 164 | 51% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=13, mult=3.9 |
5.6% | -75.7% | 0.32 | 0.07 | 3.4x | 68 | 17% |
| Supertrend period=28, mult=4.8 |
-3.3% | -99.2% | 0.19 | -0.03 | 0.5x | 140 | 55% |
| MACD fast=18, slow=25, signal=11 |
-4.2% | -99.0% | 0.17 | -0.04 | 0.4x | 371 | 51% |
| Buy and hold | 24.1% | -95.5% | 0.65 | 0.25 | 131.9x | 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 40-day average price crosses above the 92-day average
- Sell — Sell (to cash) when the 40-day average falls below the 92-day average