Trend-Following Backtester · Guide · backtest 한국어
etf · AU
BetaShares Australian Investment Grade Corporate Bond ETF backtest
10 trend-following strategies were compared on the full daily history of BetaShares Australian Investment Grade Corporate Bond ETF. 7 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.1%, MDD -0.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.2%, drawdown -26.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.1%, MDD -2.0%, Sharpe 0.90, 9% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 24.1%p (CAGR 0.1%, MDD -0.5%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=33, threshold=28 |
1.1% | -2.0% | 0.90 | 0.56 | 1.1x | 4 | 9% |
| 볼린저 밴드 돌파 n=15, k=3.1 |
0.2% | -1.3% | 0.33 | 0.16 | 1.0x | 2 | 2% |
| ROC 모멘텀 n=15, threshold=0.05 |
0.1% | -0.5% | 0.15 | 0.11 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=10, mult=3.7 |
0.1% | -6.6% | 0.08 | 0.02 | 1.0x | 14 | 21% |
| EMA 크로스오버 fast=15, slow=152 |
0.1% | -11.2% | 0.04 | 0.01 | 1.0x | 14 | 52% |
| SMA 크로스오버 fast=56, slow=197 |
-0.7% | -17.4% | -0.14 | -0.04 | 0.9x | 8 | 49% |
| Donchian 채널 돌파 entryN=71, exitN=54 |
-0.7% | -15.7% | -0.18 | -0.05 | 0.9x | 17 | 44% |
| Supertrend period=17, mult=4.6 |
-1.2% | -14.6% | -0.26 | -0.08 | 0.9x | 34 | 57% |
| MACD fast=19, slow=37, signal=15 |
-5.3% | -37.1% | -1.17 | -0.14 | 0.6x | 92 | 51% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-5.5% | -36.8% | -1.22 | -0.15 | 0.6x | 78 | 57% |
| Buy and hold | -1.2% | -26.0% | -0.15 | -0.04 | 0.9x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 33-day) is ≥ 28
- Sell — Sell when direction flips or the trend weakens (ADX < 28)