Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Brambles Limited backtest
10 trend-following strategies were compared on the full daily history of Brambles Limited. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.2%, MDD -51.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.3%, drawdown -71.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.9%, MDD -48.9%, Sharpe 0.43, 62% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.2%, MDD -51.4%, exposure 71%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 22.3%p (CAGR 6.2%, MDD -51.4%, exposure 71%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=32, slow=103 |
5.9% | -48.9% | 0.43 | 0.12 | 9.1x | 80 | 62% |
| Donchian 채널 돌파 entryN=38, exitN=75 |
6.2% | -51.4% | 0.43 | 0.12 | 10.2x | 76 | 71% |
| SMA 크로스오버 fast=16, slow=215 |
5.8% | -48.8% | 0.43 | 0.12 | 8.8x | 66 | 63% |
| ADX / DI 방향성 period=38, threshold=39 |
2.2% | -39.9% | 0.31 | 0.05 | 2.3x | 42 | 18% |
| ROC 모멘텀 n=134, threshold=0 |
2.8% | -79.5% | 0.26 | 0.04 | 2.9x | 256 | 62% |
| Supertrend period=19, mult=4.9 |
2.7% | -48.3% | 0.25 | 0.06 | 2.8x | 139 | 56% |
| Keltner 채널 돌파 emaPeriod=8, atrPeriod=25, mult=4 |
1.6% | -27.0% | 0.25 | 0.06 | 1.8x | 70 | 18% |
| Parabolic SAR step=0.005, maxStep=0.28 |
1.6% | -58.5% | 0.18 | 0.03 | 1.8x | 225 | 56% |
| 볼린저 밴드 돌파 n=15, k=3.5 |
1.0% | -39.1% | 0.16 | 0.02 | 1.4x | 72 | 19% |
| MACD fast=24, slow=29, signal=24 |
-0.6% | -61.6% | 0.05 | -0.01 | 0.8x | 359 | 49% |
| Buy and hold | 6.3% | -71.2% | 0.38 | 0.09 | 10.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 32-day EMA crosses above the 103-day EMA
- Sell — Sell when the 32-day EMA falls below the 103-day EMA