Trend-Following Backtester · Guide · backtest 한국어
equity · AU
AUB Group Limited backtest
10 trend-following strategies were compared on the full daily history of AUB Group Limited. 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 13.7%, drawdown -42.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.6%, MDD -34.3%, Sharpe 0.60, 60% 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=51, slow=182 |
10.6% | -34.3% | 0.60 | 0.31 | 8.1x | 34 | 60% |
| EMA 크로스오버 fast=59, slow=173 |
8.7% | -40.4% | 0.50 | 0.21 | 5.6x | 20 | 65% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=10, mult=3.7 |
1.3% | -6.0% | 0.32 | 0.22 | 1.3x | 8 | 2% |
| Donchian 채널 돌파 entryN=13, exitN=53 |
4.7% | -48.4% | 0.31 | 0.10 | 2.6x | 65 | 85% |
| ADX / DI 방향성 period=37, threshold=19 |
2.5% | -38.6% | 0.28 | 0.07 | 1.7x | 44 | 18% |
| ROC 모멘텀 n=145, threshold=0.04 |
2.4% | -51.0% | 0.22 | 0.05 | 1.6x | 178 | 53% |
| Supertrend period=26, mult=4.7 |
1.8% | -56.5% | 0.19 | 0.03 | 1.4x | 61 | 60% |
| Parabolic SAR step=0.015, maxStep=0.38 |
-2.9% | -80.3% | -0.04 | -0.04 | 0.5x | 324 | 52% |
| MACD fast=21, slow=59, signal=22 |
-3.4% | -77.5% | -0.07 | -0.04 | 0.5x | 208 | 50% |
| 볼린저 밴드 돌파 n=51, k=2 |
-2.7% | -67.9% | -0.10 | -0.04 | 0.6x | 103 | 34% |
| Buy and hold | 13.7% | -42.5% | 0.60 | 0.32 | 14.3x | 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 51-day average price crosses above the 182-day average
- Sell — Sell (to cash) when the 51-day average falls below the 182-day average