Trend-Following Backtester · Guide · backtest 한국어
equity · AU
South32 Ltd. backtest
10 trend-following strategies were compared on the full daily history of South32 Ltd.. 5 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 9.0%, MDD -33.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR 8.5%, drawdown -62.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 15.1%, MDD -49.1%, Sharpe 0.65, 58% exposure.
Return/drawdown alternative: Supertrend — CAGR is 6.6%p higher than buy and hold, while drawdown improves by 13.3%p (CAGR 9.0%, MDD -33.1%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=137, threshold=-0.03 |
15.1% | -49.1% | 0.65 | 0.31 | 4.9x | 53 | 58% |
| Donchian 채널 돌파 entryN=20, exitN=76 |
12.7% | -56.7% | 0.53 | 0.22 | 3.8x | 29 | 75% |
| Supertrend period=9, mult=3.9 |
9.0% | -33.1% | 0.46 | 0.27 | 2.6x | 49 | 52% |
| EMA 크로스오버 fast=48, slow=176 |
9.1% | -56.9% | 0.46 | 0.16 | 2.7x | 13 | 56% |
| SMA 크로스오버 fast=17, slow=135 |
8.8% | -46.6% | 0.45 | 0.19 | 2.6x | 25 | 56% |
| ADX / DI 방향성 period=41, threshold=11 |
5.3% | -33.3% | 0.34 | 0.16 | 1.8x | 75 | 38% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=21, mult=3.7 |
3.7% | -38.8% | 0.28 | 0.10 | 1.5x | 29 | 32% |
| 볼린저 밴드 돌파 n=40, k=1.9 |
3.6% | -46.8% | 0.27 | 0.08 | 1.5x | 67 | 33% |
| MACD fast=12, slow=37, signal=15 |
0.6% | -61.1% | 0.15 | 0.01 | 1.1x | 161 | 49% |
| Parabolic SAR step=0.025, maxStep=0.12 |
-7.8% | -76.8% | -0.18 | -0.10 | 0.4x | 251 | 52% |
| Buy and hold | 8.5% | -62.4% | 0.40 | 0.14 | 2.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 137-day return is greater than -3%
- Sell — Sell when the 137-day return drops to -3% or below