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. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
3 of 10 beat buy and hold (CAGR -1.2%, drawdown -93.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.3%, MDD -80.1%, Sharpe 0.30, 47% 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=54, slow=123 |
4.3% | -80.1% | 0.30 | 0.05 | 5.1x | 86 | 47% |
| Donchian 채널 돌파 entryN=71, exitN=125 |
2.4% | -78.4% | 0.27 | 0.03 | 2.5x | 54 | 60% |
| EMA 크로스오버 fast=32, slow=187 |
1.6% | -79.5% | 0.24 | 0.02 | 1.9x | 60 | 46% |
| Supertrend period=20, mult=4.9 |
-2.3% | -92.3% | 0.14 | -0.02 | 0.4x | 136 | 45% |
| ROC 모멘텀 n=109, threshold=0 |
-3.8% | -91.0% | 0.11 | -0.04 | 0.2x | 384 | 45% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-5.0% | -95.6% | 0.07 | -0.05 | 0.1x | 238 | 45% |
| 볼린저 밴드 돌파 n=47, k=3.5 |
-1.4% | -78.2% | 0.05 | -0.02 | 0.6x | 40 | 8% |
| ADX / DI 방향성 period=33, threshold=10 |
-6.3% | -94.0% | 0.03 | -0.07 | 0.1x | 380 | 43% |
| MACD fast=15, slow=23, signal=31 |
-10.5% | -99.1% | -0.05 | -0.11 | 0.0x | 476 | 49% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=23, mult=1.3 |
-10.2% | -98.5% | -0.11 | -0.10 | 0.0x | 282 | 38% |
| Buy and hold | -1.2% | -93.1% | 0.28 | -0.01 | 0.6x | 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 54-day average price crosses above the 123-day average
- Sell — Sell (to cash) when the 54-day average falls below the 123-day average