Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Regis Resources Limited backtest
10 trend-following strategies were compared on the full daily history of Regis Resources Limited. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 14.3%, MDD -68.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR -3.6%, drawdown -100.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.0%, MDD -83.8%, Sharpe 0.48, 48% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 19.6%p higher than buy and hold, while drawdown improves by 16.2%p (CAGR 14.3%, MDD -68.9%, exposure 21%).
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=26, slow=59 |
16.0% | -83.8% | 0.48 | 0.19 | 304.4x | 153 | 48% |
| Donchian 채널 돌파 entryN=66, exitN=76 |
15.7% | -86.8% | 0.47 | 0.18 | 277.3x | 67 | 55% |
| 볼린저 밴드 돌파 n=39, k=3 |
14.3% | -68.9% | 0.44 | 0.21 | 172.7x | 78 | 21% |
| EMA 크로스오버 fast=13, slow=88 |
13.3% | -92.8% | 0.43 | 0.14 | 122.9x | 119 | 50% |
| ROC 모멘텀 n=147, threshold=0.17 |
10.8% | -90.5% | 0.38 | 0.12 | 51.5x | 176 | 37% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=14, mult=2.5 |
9.2% | -91.9% | 0.37 | 0.10 | 29.8x | 145 | 41% |
| Supertrend period=29, mult=5 |
6.5% | -89.5% | 0.33 | 0.07 | 11.2x | 163 | 47% |
| ADX / DI 방향성 period=34, threshold=22 |
6.3% | -89.6% | 0.29 | 0.07 | 10.6x | 96 | 25% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-1.4% | -98.9% | 0.27 | -0.01 | 0.6x | 335 | 50% |
| MACD fast=19, slow=59, signal=13 |
-6.2% | -99.9% | 0.23 | -0.06 | 0.1x | 405 | 52% |
| Buy and hold | -3.6% | -100.0% | 0.35 | -0.04 | 0.2x | 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 26-day average price crosses above the 59-day average
- Sell — Sell (to cash) when the 26-day average falls below the 59-day average