Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Paladin Energy Ltd backtest
10 trend-following strategies were compared on the full daily history of Paladin Energy Ltd. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 13.8%, MDD -78.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 14.1%, drawdown -99.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 18.9%, MDD -84.9%, Sharpe 0.56, 41% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 38.5%, MDD -82.4%, exposure 36%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.8%p higher than buy and hold, while drawdown improves by 14.7%p (CAGR 13.8%, MDD -78.8%, exposure 18%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=53, slow=132 |
18.9% | -84.9% | 0.56 | 0.22 | 277.1x | 40 | 41% |
| SMA 크로스오버 fast=32, slow=199 |
18.3% | -90.0% | 0.55 | 0.20 | 231.8x | 40 | 42% |
| ROC 모멘텀 n=91, threshold=0.11 |
12.8% | -92.7% | 0.47 | 0.14 | 50.1x | 240 | 37% |
| Donchian 채널 돌파 entryN=116, exitN=65 |
38.5% | -82.4% | 0.43 | 0.47 | 38132.6x | 34 | 36% |
| MACD fast=19, slow=38, signal=17 |
12.2% | -96.1% | 0.32 | 0.13 | 42.3x | 347 | 52% |
| Parabolic SAR step=0.035, maxStep=0.26 |
9.9% | -97.6% | 0.30 | 0.10 | 21.4x | 695 | 48% |
| ADX / DI 방향성 period=38, threshold=12 |
14.3% | -90.3% | 0.30 | 0.16 | 75.9x | 198 | 37% |
| 볼린저 밴드 돌파 n=31, k=2.6 |
15.2% | -82.9% | 0.27 | 0.18 | 97.4x | 117 | 20% |
| Supertrend period=13, mult=3.7 |
5.9% | -96.6% | 0.27 | 0.06 | 6.5x | 191 | 48% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=25, mult=4 |
13.8% | -78.8% | 0.27 | 0.17 | 65.3x | 77 | 18% |
| Buy and hold | 14.1% | -99.6% | 0.40 | 0.14 | 72.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 53-day EMA crosses above the 132-day EMA
- Sell — Sell when the 53-day EMA falls below the 132-day EMA