Trend-Following Backtester · Guide · backtest 한국어
etf · AU
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. 8 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%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.9%, drawdown -27.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.0%, MDD -0.6%, Sharpe 0.06, 0% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 26.7%p (CAGR 0.0%, MDD -0.6%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=25, threshold=25 |
0.0% | -0.6% | 0.06 | 0.05 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=45, k=3.5 |
-0.2% | -4.0% | -0.16 | -0.06 | 1.0x | 4 | 5% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=12, mult=3.7 |
-0.2% | -2.8% | -0.29 | -0.08 | 1.0x | 4 | 1% |
| ROC 모멘텀 n=87, threshold=0.06 |
-0.2% | -1.3% | -0.32 | -0.12 | 1.0x | 4 | 0% |
| EMA 크로스오버 fast=19, slow=180 |
-1.6% | -17.9% | -0.43 | -0.09 | 0.9x | 16 | 36% |
| Donchian 채널 돌파 entryN=66, exitN=35 |
-1.8% | -14.1% | -0.45 | -0.13 | 0.9x | 18 | 35% |
| SMA 크로스오버 fast=33, slow=119 |
-2.2% | -18.1% | -0.48 | -0.12 | 0.9x | 13 | 44% |
| Supertrend period=15, mult=4.9 |
-2.9% | -20.8% | -0.57 | -0.14 | 0.8x | 36 | 51% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-3.9% | -27.9% | -0.75 | -0.14 | 0.8x | 52 | 53% |
| MACD fast=14, slow=53, signal=19 |
-5.1% | -32.0% | -1.02 | -0.16 | 0.7x | 68 | 47% |
| Buy and hold | -2.9% | -27.4% | -0.37 | -0.11 | 0.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 25-day) is ≥ 25
- Sell — Sell when direction flips or the trend weakens (ADX < 25)