Trend-Following Backtester · Guide · backtest 한국어
etf · AU
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 Keltner 채널 돌파 (CAGR 2.7%, MDD -27.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR -1.3%, drawdown -99.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 2.7%, MDD -27.7%, Sharpe 0.28, 1% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 71.4%p (CAGR 2.7%, MDD -27.7%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=6, atrPeriod=18, mult=3.5 |
2.7% | -27.7% | 0.28 | 0.10 | 1.4x | 4 | 1% |
| ROC 모멘텀 n=8, threshold=0.13 |
0.5% | -39.0% | 0.10 | 0.01 | 1.1x | 30 | 2% |
| 볼린저 밴드 돌파 n=28, k=3.5 |
0.0% | -39.7% | 0.07 | 0.00 | 1.0x | 10 | 3% |
| ADX / DI 방향성 period=15, threshold=36 |
-0.2% | -37.9% | 0.04 | -0.01 | 1.0x | 4 | 2% |
| Donchian 채널 돌파 entryN=122, exitN=4 |
-1.2% | -44.7% | -0.03 | -0.03 | 0.9x | 22 | 2% |
| Supertrend period=33, mult=4.6 |
-9.4% | -70.5% | -0.32 | -0.13 | 0.3x | 51 | 28% |
| EMA 크로스오버 fast=8, slow=182 |
-9.2% | -76.1% | -0.36 | -0.12 | 0.3x | 27 | 20% |
| SMA 크로스오버 fast=39, slow=67 |
-10.8% | -79.4% | -0.41 | -0.14 | 0.3x | 54 | 31% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-14.4% | -84.7% | -0.50 | -0.17 | 0.2x | 145 | 40% |
| MACD fast=10, slow=45, signal=11 |
-19.2% | -93.6% | -0.68 | -0.21 | 0.1x | 201 | 49% |
| Buy and hold | -1.3% | -99.1% | 0.29 | -0.01 | 0.9x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 6-day average + 3.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 6-day average