Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Sunrise Energy Metals Limited backtest
10 trend-following strategies were compared on the full daily history of Sunrise Energy Metals Limited. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 33.5%, MDD -52.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR 5.2%, drawdown -98.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 39.4%, MDD -60.8%, Sharpe 0.83, 42% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 34.1%p higher than buy and hold, while drawdown improves by 37.6%p (CAGR 33.5%, MDD -52.7%, exposure 25%).
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=50, slow=247 |
39.4% | -60.8% | 0.83 | 0.65 | 501.2x | 15 | 42% |
| Donchian 채널 돌파 entryN=97, exitN=38 |
33.5% | -52.7% | 0.77 | 0.64 | 223.6x | 27 | 25% |
| ROC 모멘텀 n=118, threshold=0.14 |
32.1% | -65.8% | 0.74 | 0.49 | 184.2x | 123 | 34% |
| EMA 크로스오버 fast=52, slow=148 |
30.0% | -65.3% | 0.72 | 0.46 | 135.1x | 19 | 39% |
| ADX / DI 방향성 period=33, threshold=15 |
30.1% | -67.2% | 0.72 | 0.45 | 137.8x | 102 | 33% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=19, mult=4 |
24.6% | -73.6% | 0.66 | 0.33 | 61.9x | 42 | 20% |
| Parabolic SAR step=0.015, maxStep=0.32 |
13.2% | -85.2% | 0.50 | 0.16 | 10.3x | 240 | 42% |
| 볼린저 밴드 돌파 n=54, k=3.3 |
13.1% | -70.3% | 0.48 | 0.19 | 10.0x | 26 | 12% |
| MACD fast=15, slow=41, signal=16 |
0.7% | -97.4% | 0.35 | 0.01 | 1.1x | 228 | 50% |
| Supertrend period=6, mult=3.5 |
-6.7% | -98.9% | 0.25 | -0.07 | 0.3x | 156 | 52% |
| Buy and hold | 5.2% | -98.4% | 0.51 | 0.05 | 2.6x | 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 50-day average price crosses above the 247-day average
- Sell — Sell (to cash) when the 50-day average falls below the 247-day average