Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Computershare Limited backtest
10 trend-following strategies were compared on the full daily history of Computershare Limited. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 21.4%, MDD -42.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 19.1%, drawdown -85.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 21.4%, MDD -42.4%, Sharpe 0.84, 66% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 43.2%p (CAGR 21.4%, MDD -42.4%, exposure 66%).
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=67, slow=143 |
21.4% | -42.4% | 0.84 | 0.50 | 515.4x | 27 | 66% |
| SMA 크로스오버 fast=13, slow=218 |
20.0% | -52.0% | 0.81 | 0.38 | 355.4x | 59 | 64% |
| Donchian 채널 돌파 entryN=102, exitN=74 |
15.5% | -41.4% | 0.70 | 0.37 | 104.9x | 43 | 56% |
| ROC 모멘텀 n=147, threshold=0 |
15.5% | -64.7% | 0.66 | 0.24 | 104.8x | 171 | 65% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=10, mult=3.9 |
10.9% | -28.5% | 0.64 | 0.38 | 28.1x | 50 | 19% |
| Supertrend period=23, mult=4.7 |
13.4% | -50.4% | 0.61 | 0.27 | 57.6x | 104 | 59% |
| ADX / DI 방향성 period=41, threshold=19 |
10.6% | -29.6% | 0.61 | 0.36 | 25.7x | 62 | 24% |
| 볼린저 밴드 돌파 n=31, k=3 |
8.0% | -34.9% | 0.52 | 0.23 | 12.0x | 74 | 20% |
| Parabolic SAR step=0.005, maxStep=0.32 |
10.4% | -56.8% | 0.50 | 0.18 | 24.1x | 228 | 61% |
| MACD fast=17, slow=32, signal=19 |
2.3% | -80.3% | 0.21 | 0.03 | 2.1x | 374 | 49% |
| Buy and hold | 19.1% | -85.6% | 0.67 | 0.22 | 283.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 67-day EMA crosses above the 143-day EMA
- Sell — Sell when the 67-day EMA falls below the 143-day EMA