Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Resolute Mining Limited backtest
10 trend-following strategies were compared on the full daily history of Resolute Mining Limited. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.4%, MDD -73.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.1%, drawdown -99.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.7%, MDD -88.8%, Sharpe 0.36, 59% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.7%, MDD -90.9%, exposure 48%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.6%p higher than buy and hold, while drawdown improves by 10.6%p (CAGR 5.4%, MDD -73.7%, exposure 16%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=43, exitN=67 |
6.7% | -88.8% | 0.36 | 0.08 | 12.2x | 98 | 59% |
| SMA 크로스오버 fast=16, slow=48 |
6.7% | -90.9% | 0.35 | 0.07 | 12.2x | 198 | 48% |
| Parabolic SAR step=0.005, maxStep=0.32 |
6.7% | -92.8% | 0.35 | 0.07 | 12.1x | 230 | 48% |
| 볼린저 밴드 돌파 n=55, k=1.1 |
5.9% | -94.0% | 0.33 | 0.06 | 8.9x | 210 | 39% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=14, mult=3.5 |
5.4% | -73.7% | 0.32 | 0.07 | 7.5x | 88 | 16% |
| ROC 모멘텀 n=80, threshold=0.07 |
5.1% | -85.6% | 0.31 | 0.06 | 6.9x | 336 | 40% |
| EMA 크로스오버 fast=23, slow=164 |
4.7% | -81.0% | 0.31 | 0.06 | 5.9x | 76 | 44% |
| Supertrend period=11, mult=4.1 |
4.0% | -96.5% | 0.29 | 0.04 | 4.5x | 200 | 48% |
| ADX / DI 방향성 period=17, threshold=20 |
3.7% | -88.2% | 0.27 | 0.04 | 4.0x | 314 | 34% |
| MACD fast=34, slow=37, signal=36 |
1.2% | -93.7% | 0.24 | 0.01 | 1.6x | 264 | 51% |
| Buy and hold | 0.1% | -99.5% | 0.30 | 0.00 | 1.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 43 days
- Sell — Sell when price breaks below the lowest low of the last 67 days