Trend-Following Backtester · Guide · backtest 한국어
etf · AU
Australian Foundation Investment Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Australian Foundation Investment Co. Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.2%, drawdown -44.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.6%, MDD -39.4%, Sharpe 0.28, 59% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=57, slow=197 |
2.6% | -39.4% | 0.28 | 0.07 | 2.0x | 36 | 59% |
| EMA 크로스오버 fast=54, slow=141 |
1.8% | -34.9% | 0.21 | 0.05 | 1.6x | 46 | 60% |
| Donchian 채널 돌파 entryN=37, exitN=73 |
1.1% | -37.7% | 0.14 | 0.03 | 1.3x | 61 | 70% |
| ADX / DI 방향성 period=34, threshold=21 |
0.6% | -20.4% | 0.12 | 0.03 | 1.2x | 52 | 16% |
| Supertrend period=21, mult=4.2 |
0.1% | -43.0% | 0.07 | 0.00 | 1.0x | 93 | 48% |
| ROC 모멘텀 n=129, threshold=-0.03 |
-0.4% | -43.4% | 0.03 | -0.01 | 0.9x | 204 | 73% |
| 볼린저 밴드 돌파 n=39, k=3.5 |
-0.1% | -21.3% | 0.02 | -0.00 | 1.0x | 26 | 7% |
| MACD fast=30, slow=40, signal=22 |
-1.4% | -56.7% | -0.04 | -0.03 | 0.7x | 219 | 50% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=15, mult=3.5 |
-0.8% | -26.1% | -0.06 | -0.03 | 0.8x | 57 | 17% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-2.4% | -54.2% | -0.13 | -0.04 | 0.5x | 301 | 53% |
| Buy and hold | 3.2% | -44.4% | 0.26 | 0.07 | 2.4x | 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 57-day average price crosses above the 197-day average
- Sell — Sell (to cash) when the 57-day average falls below the 197-day average