Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Ramelius Resources Limited backtest
10 trend-following strategies were compared on the full daily history of Ramelius Resources Limited. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 23.7%, MDD -53.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 14.0%, drawdown -98.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 24.3%, MDD -60.9%, Sharpe 0.61, 54% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 10.4%p higher than buy and hold, while drawdown improves by 37.2%p (CAGR 23.7%, MDD -53.4%, exposure 52%).
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=55, slow=194 |
24.3% | -60.9% | 0.61 | 0.40 | 164.5x | 24 | 54% |
| EMA 크로스오버 fast=51, slow=165 |
23.7% | -53.4% | 0.61 | 0.44 | 145.6x | 22 | 52% |
| Donchian 채널 돌파 entryN=126, exitN=76 |
21.9% | -63.0% | 0.58 | 0.35 | 103.8x | 24 | 44% |
| ROC 모멘텀 n=153, threshold=0.12 |
18.0% | -60.5% | 0.52 | 0.30 | 48.2x | 172 | 44% |
| Supertrend period=16, mult=5 |
9.3% | -88.8% | 0.40 | 0.11 | 8.1x | 83 | 55% |
| 볼린저 밴드 돌파 n=49, k=2 |
10.2% | -69.3% | 0.39 | 0.15 | 9.7x | 103 | 31% |
| ADX / DI 방향성 period=40, threshold=6 |
8.2% | -91.5% | 0.39 | 0.09 | 6.3x | 281 | 56% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=22, mult=3.3 |
3.9% | -65.2% | 0.27 | 0.06 | 2.5x | 77 | 18% |
| MACD fast=17, slow=62, signal=15 |
-0.9% | -97.0% | 0.23 | -0.01 | 0.8x | 271 | 49% |
| Parabolic SAR step=0.025, maxStep=0.34 |
-6.0% | -93.3% | 0.14 | -0.06 | 0.2x | 505 | 46% |
| Buy and hold | 14.0% | -98.1% | 0.51 | 0.14 | 21.4x | 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 55-day average price crosses above the 194-day average
- Sell — Sell (to cash) when the 55-day average falls below the 194-day average