Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Eagers Automotive Limited backtest
10 trend-following strategies were compared on the full daily history of Eagers Automotive Limited. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.7%, MDD -41.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 11.1%, drawdown -79.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.7%, MDD -41.6%, Sharpe 0.72, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.6%p higher than buy and hold, while drawdown improves by 38.0%p (CAGR 14.7%, MDD -41.6%, exposure 59%).
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=56, slow=126 |
14.7% | -41.6% | 0.72 | 0.35 | 196.1x | 72 | 59% |
| EMA 크로스오버 fast=56, slow=112 |
12.6% | -42.8% | 0.63 | 0.29 | 94.9x | 52 | 63% |
| Donchian 채널 돌파 entryN=91, exitN=69 |
10.4% | -41.1% | 0.57 | 0.25 | 44.4x | 56 | 53% |
| ADX / DI 방향성 period=29, threshold=17 |
9.2% | -46.2% | 0.54 | 0.20 | 30.0x | 172 | 43% |
| 볼린저 밴드 돌파 n=73, k=2 |
8.4% | -42.3% | 0.51 | 0.20 | 22.7x | 110 | 41% |
| Supertrend period=29, mult=5 |
9.4% | -52.1% | 0.51 | 0.18 | 32.2x | 158 | 56% |
| Parabolic SAR step=0.005, maxStep=0.1 |
8.8% | -50.2% | 0.48 | 0.18 | 25.9x | 205 | 55% |
| ROC 모멘텀 n=146, threshold=0.14 |
7.2% | -38.3% | 0.46 | 0.19 | 14.3x | 146 | 34% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=20, mult=2.6 |
7.2% | -42.5% | 0.45 | 0.17 | 14.3x | 156 | 40% |
| MACD fast=15, slow=50, signal=12 |
-6.9% | -96.3% | -0.18 | -0.07 | 0.1x | 541 | 50% |
| Buy and hold | 11.1% | -79.6% | 0.48 | 0.14 | 58.3x | 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 56-day average price crosses above the 126-day average
- Sell — Sell (to cash) when the 56-day average falls below the 126-day average