Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Bluescope Steel Limited backtest
10 trend-following strategies were compared on the full daily history of Bluescope Steel Limited. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.5%, MDD -54.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.2%, drawdown -97.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.0%, MDD -60.4%, Sharpe 0.49, 55% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.8%p higher than buy and hold, while drawdown improves by 36.7%p (CAGR 8.5%, MDD -54.9%, exposure 49%).
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=18, slow=195 |
10.0% | -60.4% | 0.49 | 0.17 | 10.0x | 49 | 55% |
| EMA 크로스오버 fast=47, slow=105 |
9.5% | -60.7% | 0.47 | 0.16 | 8.9x | 43 | 58% |
| Donchian 채널 돌파 entryN=112, exitN=70 |
8.5% | -54.9% | 0.46 | 0.16 | 7.2x | 31 | 49% |
| ROC 모멘텀 n=116, threshold=0.01 |
7.5% | -63.5% | 0.41 | 0.12 | 5.8x | 175 | 56% |
| ADX / DI 방향성 period=45, threshold=20 |
2.5% | -37.5% | 0.27 | 0.07 | 1.8x | 24 | 10% |
| 볼린저 밴드 돌파 n=35, k=3.3 |
1.6% | -28.2% | 0.21 | 0.06 | 1.5x | 24 | 8% |
| Supertrend period=19, mult=4.9 |
1.8% | -77.1% | 0.20 | 0.02 | 1.5x | 94 | 54% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=28, mult=4 |
1.6% | -58.3% | 0.18 | 0.03 | 1.5x | 52 | 20% |
| MACD fast=16, slow=36, signal=24 |
0.3% | -83.2% | 0.16 | 0.00 | 1.1x | 270 | 52% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-0.3% | -90.4% | 0.13 | -0.00 | 0.9x | 204 | 54% |
| Buy and hold | 4.2% | -97.1% | 0.31 | 0.04 | 2.7x | 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 18-day average price crosses above the 195-day average
- Sell — Sell (to cash) when the 18-day average falls below the 195-day average