Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Anglo American plc backtest
10 trend-following strategies were compared on the full daily history of Anglo American plc. 4 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.3%, MDD -54.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 5.5%, drawdown -94.0%).
Sharpe leader (same as main): Supertrend — CAGR 7.4%, MDD -64.4%, Sharpe 0.39, 53% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 29.6%p (CAGR 7.3%, MDD -54.8%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=25, mult=4.9 |
7.4% | -64.4% | 0.39 | 0.12 | 7.0x | 82 | 53% |
| 볼린저 밴드 돌파 n=13, k=3 |
2.0% | -10.1% | 0.39 | 0.20 | 1.7x | 16 | 2% |
| SMA 크로스오버 fast=24, slow=57 |
7.3% | -54.8% | 0.39 | 0.13 | 6.9x | 120 | 55% |
| EMA 크로스오버 fast=37, slow=83 |
6.8% | -54.9% | 0.37 | 0.12 | 6.0x | 65 | 60% |
| Donchian 채널 돌파 entryN=18, exitN=60 |
5.6% | -77.2% | 0.33 | 0.07 | 4.4x | 82 | 76% |
| ROC 모멘텀 n=75, threshold=-0.04 |
2.8% | -72.2% | 0.24 | 0.04 | 2.1x | 269 | 64% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=28, mult=1.4 |
0.6% | -72.3% | 0.15 | 0.01 | 1.2x | 184 | 44% |
| MACD fast=15, slow=70, signal=17 |
-4.0% | -84.9% | 0.02 | -0.05 | 0.3x | 324 | 52% |
| ADX / DI 방향성 period=18, threshold=23 |
-1.5% | -67.4% | 0.00 | -0.02 | 0.7x | 142 | 17% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-6.3% | -96.6% | -0.07 | -0.07 | 0.2x | 505 | 52% |
| Buy and hold | 5.5% | -94.0% | 0.34 | 0.06 | 4.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 25-day volatility, 4.9× band
- Sell — Sell when price drops below the trend line (flips down)