Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Commonwealth Bank of Australia backtest
10 trend-following strategies were compared on the full daily history of Commonwealth Bank of Australia. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.5%, drawdown -61.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.0%, MDD -31.5%, Sharpe 0.52, 64% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=115, exitN=124 |
7.0% | -31.5% | 0.52 | 0.22 | 10.7x | 31 | 64% |
| ADX / DI 방향성 period=31, threshold=29 |
3.7% | -14.5% | 0.49 | 0.25 | 3.5x | 26 | 15% |
| SMA 크로스오버 fast=39, slow=205 |
5.2% | -39.6% | 0.40 | 0.13 | 5.8x | 47 | 64% |
| EMA 크로스오버 fast=56, slow=108 |
4.9% | -52.6% | 0.38 | 0.09 | 5.3x | 60 | 66% |
| ROC 모멘텀 n=170, threshold=-0.02 |
4.5% | -47.9% | 0.36 | 0.09 | 4.7x | 182 | 71% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=24, mult=2.6 |
3.4% | -38.2% | 0.32 | 0.09 | 3.2x | 138 | 48% |
| Supertrend period=23, mult=4.4 |
2.1% | -52.1% | 0.21 | 0.04 | 2.1x | 172 | 58% |
| Parabolic SAR step=0.005, maxStep=0.26 |
1.8% | -63.9% | 0.19 | 0.03 | 1.9x | 276 | 57% |
| 볼린저 밴드 돌파 n=46, k=3.3 |
1.1% | -28.7% | 0.18 | 0.04 | 1.4x | 34 | 11% |
| MACD fast=22, slow=40, signal=24 |
-1.4% | -65.8% | -0.03 | -0.02 | 0.6x | 350 | 52% |
| Buy and hold | 9.5% | -61.0% | 0.52 | 0.16 | 23.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 115 days
- Sell — Sell when price breaks below the lowest low of the last 124 days