Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Beach Energy Limited backtest
10 trend-following strategies were compared on the full daily history of Beach Energy Limited. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR -1.1%, drawdown -93.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.6%, MDD -82.3%, Sharpe 0.27, 48% 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=48, slow=144 |
2.6% | -82.3% | 0.27 | 0.03 | 2.7x | 70 | 48% |
| EMA 크로스오버 fast=32, slow=185 |
1.4% | -79.5% | 0.23 | 0.02 | 1.7x | 62 | 47% |
| Donchian 채널 돌파 entryN=17, exitN=78 |
-3.4% | -96.5% | 0.20 | -0.04 | 0.3x | 146 | 78% |
| Supertrend period=15, mult=4.4 |
-2.6% | -88.1% | 0.14 | -0.03 | 0.4x | 158 | 47% |
| ROC 모멘텀 n=109, threshold=0.02 |
-3.3% | -85.7% | 0.12 | -0.04 | 0.3x | 350 | 44% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-4.8% | -95.6% | 0.07 | -0.05 | 0.1x | 237 | 45% |
| ADX / DI 방향성 period=28, threshold=13 |
-6.0% | -93.5% | 0.02 | -0.06 | 0.1x | 330 | 39% |
| 볼린저 밴드 돌파 n=59, k=2.2 |
-4.8% | -92.9% | -0.01 | -0.05 | 0.2x | 128 | 24% |
| MACD fast=16, slow=35, signal=20 |
-10.2% | -99.0% | -0.04 | -0.10 | 0.0x | 469 | 49% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=15, mult=1.3 |
-10.9% | -98.9% | -0.13 | -0.11 | 0.0x | 292 | 38% |
| Buy and hold | -1.1% | -93.1% | 0.28 | -0.01 | 0.7x | 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 48-day average price crosses above the 144-day average
- Sell — Sell (to cash) when the 48-day average falls below the 144-day average