Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Codan Limited backtest
10 trend-following strategies were compared on the full daily history of Codan Limited. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 25.7%, MDD -50.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 17.9%, drawdown -86.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 25.7%, MDD -50.0%, Sharpe 0.86, 61% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 7.8%p higher than buy and hold, while drawdown improves by 36.3%p (CAGR 25.7%, MDD -50.0%, exposure 61%).
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=17, slow=134 |
25.7% | -50.0% | 0.86 | 0.51 | 183.8x | 53 | 61% |
| ROC 모멘텀 n=139, threshold=-0.03 |
24.9% | -52.4% | 0.83 | 0.48 | 158.3x | 99 | 63% |
| EMA 크로스오버 fast=37, slow=75 |
24.1% | -50.2% | 0.82 | 0.48 | 135.8x | 45 | 61% |
| Supertrend period=9, mult=4.7 |
19.6% | -77.4% | 0.72 | 0.25 | 58.9x | 83 | 58% |
| Donchian 채널 돌파 entryN=33, exitN=64 |
21.2% | -66.1% | 0.70 | 0.32 | 80.1x | 45 | 73% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=11, mult=3.1 |
14.8% | -60.6% | 0.66 | 0.24 | 23.2x | 75 | 38% |
| 볼린저 밴드 돌파 n=52, k=1.8 |
13.4% | -63.8% | 0.60 | 0.21 | 17.6x | 109 | 42% |
| ADX / DI 방향성 period=28, threshold=24 |
8.9% | -43.2% | 0.57 | 0.20 | 6.9x | 62 | 18% |
| Parabolic SAR step=0.005, maxStep=0.16 |
13.9% | -67.6% | 0.55 | 0.21 | 19.3x | 165 | 53% |
| MACD fast=19, slow=59, signal=19 |
6.4% | -78.3% | 0.35 | 0.08 | 4.1x | 213 | 49% |
| Buy and hold | 17.9% | -86.3% | 0.59 | 0.21 | 42.5x | 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 17-day average price crosses above the 134-day average
- Sell — Sell (to cash) when the 17-day average falls below the 134-day average