Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Bank of Queensland Limited backtest
10 trend-following strategies were compared on the full daily history of Bank of Queensland Limited. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 3.9%, MDD -42.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.0%, drawdown -74.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.9%, MDD -42.3%, Sharpe 0.32, 56% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 4.2%, MDD -72.4%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 32.6%p (CAGR 3.9%, MDD -42.3%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=30, slow=245 |
3.9% | -42.3% | 0.32 | 0.09 | 4.4x | 48 | 56% |
| EMA 크로스오버 fast=44, slow=161 |
3.6% | -42.1% | 0.29 | 0.08 | 3.9x | 50 | 57% |
| ROC 모멘텀 Hold-like · Exposure 100% n=6, threshold=-0.13 |
4.2% | -72.4% | 0.29 | 0.06 | 4.8x | 27 | 100% |
| ADX / DI 방향성 period=32, threshold=20 |
2.5% | -34.3% | 0.28 | 0.07 | 2.6x | 94 | 26% |
| Donchian 채널 돌파 entryN=97, exitN=30 |
2.0% | -49.1% | 0.21 | 0.04 | 2.1x | 94 | 36% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=13, mult=4 |
1.7% | -43.9% | 0.20 | 0.04 | 1.9x | 86 | 26% |
| 볼린저 밴드 돌파 n=14, k=3.5 |
1.2% | -34.5% | 0.19 | 0.03 | 1.6x | 48 | 17% |
| Supertrend period=8, mult=4.4 |
0.4% | -64.4% | 0.10 | 0.01 | 1.1x | 173 | 51% |
| MACD fast=26, slow=32, signal=19 |
-3.0% | -84.1% | -0.09 | -0.04 | 0.3x | 387 | 51% |
| Parabolic SAR step=0.02, maxStep=0.1 |
-3.6% | -89.2% | -0.13 | -0.04 | 0.2x | 537 | 54% |
| Buy and hold | 4.0% | -74.9% | 0.28 | 0.05 | 4.5x | 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 30-day average price crosses above the 245-day average
- Sell — Sell (to cash) when the 30-day average falls below the 245-day average