Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Ampol Limited backtest
10 trend-following strategies were compared on the full daily history of Ampol Limited. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.9%, MDD -61.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.6%, drawdown -83.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.8%, MDD -61.4%, Sharpe 0.44, 44% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 6.9%, MDD -61.1%, exposure 56%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.7%p lower than buy and hold, while drawdown improves by 22.6%p (CAGR 6.9%, MDD -61.1%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=49, exitN=23 |
6.8% | -61.4% | 0.44 | 0.11 | 12.9x | 143 | 44% |
| EMA 크로스오버 fast=39, slow=80 |
6.9% | -61.1% | 0.41 | 0.11 | 13.1x | 91 | 56% |
| SMA 크로스오버 fast=55, slow=209 |
6.8% | -61.1% | 0.41 | 0.11 | 12.7x | 49 | 57% |
| Supertrend period=17, mult=3.4 |
5.4% | -61.9% | 0.35 | 0.09 | 7.5x | 211 | 54% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=15, mult=4 |
4.6% | -53.7% | 0.34 | 0.09 | 5.6x | 107 | 36% |
| 볼린저 밴드 돌파 n=49, k=2.4 |
4.2% | -46.5% | 0.33 | 0.09 | 4.9x | 133 | 32% |
| ROC 모멘텀 n=133, threshold=-0.03 |
4.1% | -64.0% | 0.29 | 0.06 | 4.7x | 239 | 63% |
| Parabolic SAR step=0.005, maxStep=0.32 |
3.1% | -77.6% | 0.24 | 0.04 | 3.2x | 249 | 54% |
| ADX / DI 방향성 period=47, threshold=12 |
2.2% | -74.0% | 0.21 | 0.03 | 2.3x | 185 | 40% |
| MACD fast=18, slow=58, signal=19 |
1.4% | -76.9% | 0.17 | 0.02 | 1.7x | 371 | 52% |
| Buy and hold | 8.6% | -83.9% | 0.42 | 0.10 | 23.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 49 days
- Sell — Sell when price breaks below the lowest low of the last 23 days