Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Charter Hall Group backtest
10 trend-following strategies were compared on the full daily history of Charter Hall Group. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 13.9%, MDD -35.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR 9.4%, drawdown -94.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 22.2%, MDD -41.1%, Sharpe 0.86, 73% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 12.8%p higher than buy and hold, while drawdown improves by 53.7%p (CAGR 13.9%, MDD -35.6%, exposure 45%).
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=20, exitN=43 |
22.2% | -41.1% | 0.86 | 0.54 | 71.0x | 58 | 73% |
| Supertrend period=21, mult=4.9 |
19.0% | -36.8% | 0.81 | 0.52 | 40.4x | 54 | 58% |
| ADX / DI 방향성 period=33, threshold=12 |
16.5% | -45.9% | 0.77 | 0.36 | 25.6x | 172 | 49% |
| SMA 크로스오버 fast=6, slow=137 |
16.6% | -36.3% | 0.75 | 0.46 | 26.3x | 72 | 62% |
| EMA 크로스오버 fast=43, slow=49 |
16.4% | -45.9% | 0.73 | 0.36 | 25.3x | 53 | 64% |
| 볼린저 밴드 돌파 n=33, k=1.8 |
13.9% | -35.6% | 0.72 | 0.39 | 15.9x | 138 | 45% |
| Parabolic SAR step=0.02, maxStep=0.02 |
15.8% | -54.2% | 0.72 | 0.29 | 22.3x | 108 | 61% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=29, mult=2 |
12.0% | -50.7% | 0.64 | 0.24 | 11.0x | 100 | 45% |
| ROC 모멘텀 n=98, threshold=0.01 |
12.0% | -46.1% | 0.59 | 0.26 | 11.0x | 172 | 61% |
| MACD fast=22, slow=39, signal=23 |
5.0% | -71.8% | 0.31 | 0.07 | 2.8x | 198 | 53% |
| Buy and hold | 9.4% | -94.8% | 0.42 | 0.10 | 6.7x | 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 20 days
- Sell — Sell when price breaks below the lowest low of the last 43 days