Trend-Following Backtester · Guide · backtest 한국어

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Betashares Australian Government Bond ETF Exchange Traded Fund Units backtest

10 trend-following strategies were compared on the full daily history of Betashares Australian Government Bond ETF Exchange Traded Fund Units. 7 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.0%, MDD -0.6%).

Data 2019-07-05 ~ 2026-07-31daily bars 1,791 (7.1 years)Costs 0.5%Venue ASXMonthly snapshot 2026-07-31

Results by strategy

7 of 10 beat buy and hold (CAGR -2.8%, drawdown -27.4%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.0%, MDD -0.6%, Sharpe 0.06, 1% exposure.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 26.7%p (CAGR 0.0%, MDD -0.6%, exposure 1%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ADX / DI 방향성
period=25, threshold=25
0.0%-0.6%0.060.051.0x21%
볼린저 밴드 돌파
n=45, k=3.5
-0.2%-4.0%-0.16-0.061.0x46%
Keltner 채널 돌파
emaPeriod=9, atrPeriod=12, mult=3.7
-0.2%-2.8%-0.29-0.081.0x41%
ROC 모멘텀
n=87, threshold=0.06
-0.2%-1.3%-0.32-0.121.0x41%
EMA 크로스오버
fast=19, slow=180
-1.7%-17.9%-0.43-0.090.9x1637%
SMA 크로스오버
fast=33, slow=119
-2.1%-18.1%-0.45-0.120.9x1343%
Donchian 채널 돌파
entryN=66, exitN=35
-1.9%-14.1%-0.45-0.130.9x1835%
Supertrend
period=15, mult=4.9
-2.9%-20.8%-0.57-0.140.8x3652%
Parabolic SAR
step=0.005, maxStep=0.32
-3.9%-27.9%-0.76-0.140.8x5254%
MACD
fast=14, slow=53, signal=19
-5.1%-32.0%-1.02-0.160.7x6847%
Buy and hold-2.8%-27.4%-0.36-0.100.8x1100%
1x 2020 2021 2022 2023 2024 2025 2026 ADX / DI 방향성Buy and hold
ADX / DI 방향성: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -7% -14% -21% -27% 2020 2021 2022 2023 2024 2025 2026 Buy and holdADX / DI 방향성
ADX / DI 방향성 maximum drawdown -0.6% (2019-09-17 → 2019-09-18), recovered after 2 days.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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