Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Yancoal Australia Ltd. backtest
10 trend-following strategies were compared on the full daily history of Yancoal Australia Ltd.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.6%, MDD -49.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -11.1%, drawdown -97.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 9.6%, MDD -49.6%, Sharpe 0.44, 15% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 20.7%p higher than buy and hold, while drawdown improves by 48.0%p (CAGR 9.6%, MDD -49.6%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=10, mult=3.8 |
9.6% | -49.6% | 0.44 | 0.19 | 3.7x | 24 | 15% |
| Donchian 채널 돌파 entryN=71, exitN=59 |
8.9% | -57.6% | 0.41 | 0.15 | 3.3x | 20 | 39% |
| SMA 크로스오버 fast=43, slow=160 |
7.7% | -53.0% | 0.38 | 0.14 | 2.8x | 28 | 35% |
| Supertrend period=8, mult=3.3 |
7.1% | -63.0% | 0.37 | 0.11 | 2.6x | 89 | 42% |
| 볼린저 밴드 돌파 n=44, k=2.8 |
6.2% | -62.5% | 0.34 | 0.10 | 2.3x | 28 | 16% |
| Parabolic SAR step=0.01, maxStep=0.34 |
5.5% | -72.2% | 0.34 | 0.08 | 2.1x | 147 | 42% |
| ADX / DI 방향성 period=32, threshold=16 |
4.9% | -72.4% | 0.30 | 0.07 | 2.0x | 76 | 21% |
| EMA 크로스오버 fast=37, slow=186 |
4.0% | -78.5% | 0.29 | 0.05 | 1.7x | 18 | 33% |
| MACD fast=17, slow=47, signal=12 |
2.3% | -66.1% | 0.28 | 0.03 | 1.4x | 175 | 51% |
| ROC 모멘텀 n=21, threshold=0.1 |
3.6% | -69.9% | 0.27 | 0.05 | 1.6x | 174 | 20% |
| Buy and hold | -11.1% | -97.6% | 0.13 | -0.11 | 0.2x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 54-day average + 3.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 54-day average