Trend-Following Backtester · Guide · backtest 한국어

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Betashares Australian Equities Strong Bear Complex ETF backtest

10 trend-following strategies were compared on the full daily history of Betashares Australian Equities Strong Bear Complex ETF. 5 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 1.2%, MDD -8.4%).

Data 2015-04-17 ~ 2026-07-31daily bars 2,859 (11.3 years)Costs 0.5%Venue ASXMonthly snapshot 2026-07-31

Results by strategy

5 of 10 beat buy and hold (CAGR -1.7%, drawdown -99.1%).

Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 2.3%, MDD -27.7%, Sharpe 0.24, 1% exposure.

Return/drawdown alternative: ROC 모멘텀 — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 71.4%p (CAGR 1.2%, MDD -8.4%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Keltner 채널 돌파
emaPeriod=5, atrPeriod=18, mult=3.1
2.3%-27.7%0.240.081.3x61%
ROC 모멘텀
n=5, threshold=0.25
1.2%-8.4%0.230.151.2x100%
ADX / DI 방향성
period=8, threshold=46
-0.5%-43.8%0.03-0.010.9x203%
볼린저 밴드 돌파
n=26, k=3.5
-0.6%-44.4%0.03-0.010.9x103%
Donchian 채널 돌파
entryN=125, exitN=2
-1.0%-39.5%-0.01-0.030.9x242%
Supertrend
period=27, mult=4.6
-10.1%-73.2%-0.33-0.140.3x5230%
EMA 크로스오버
fast=7, slow=182
-9.2%-75.2%-0.35-0.120.3x2620%
SMA 크로스오버
fast=42, slow=67
-11.5%-82.0%-0.44-0.140.3x5232%
Parabolic SAR
step=0.01, maxStep=0.3
-16.5%-87.3%-0.59-0.190.1x15041%
MACD
fast=15, slow=51, signal=7
-20.4%-93.9%-0.73-0.220.1x20249%
Buy and hold-1.7%-99.1%0.29-0.020.8x1100%
0.1 1x 2016 2018 2020 2022 2024 2026 Keltner 채널 돌파Buy and hold
Keltner 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -25% -50% -74% -99% 2016 2018 2020 2022 2024 2026 Buy and holdKeltner 채널 돌파
Keltner 채널 돌파 maximum drawdown -27.7% (2020-03-22 → 2024-06-07), prior peak not yet recovered.

Rules of the top strategy

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

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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