Trend-Following Backtester · Guide · backtest 한국어
etf · AU
BetaShares Diversified All Growth ETF backtest
10 trend-following strategies were compared on the full daily history of BetaShares Diversified All Growth ETF. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.6%, MDD -9.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.0%, drawdown -28.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.6%, MDD -9.0%, Sharpe 1.04, 71% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 19.5%p (CAGR 8.6%, MDD -9.0%, exposure 71%).
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=18, slow=140 |
8.6% | -9.0% | 1.04 | 0.95 | 1.8x | 9 | 71% |
| EMA 크로스오버 fast=36, slow=71 |
7.9% | -11.6% | 0.96 | 0.68 | 1.7x | 9 | 72% |
| Donchian 채널 돌파 entryN=58, exitN=52 |
7.1% | -9.6% | 0.87 | 0.74 | 1.6x | 9 | 66% |
| ADX / DI 방향성 period=42, threshold=29 |
3.0% | -4.5% | 0.83 | 0.67 | 1.2x | 4 | 15% |
| ROC 모멘텀 n=78, threshold=-0.04 |
7.4% | -19.8% | 0.81 | 0.37 | 1.6x | 27 | 83% |
| Supertrend period=20, mult=3.3 |
6.1% | -16.2% | 0.73 | 0.38 | 1.5x | 36 | 66% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=27, mult=1.1 |
2.8% | -15.6% | 0.40 | 0.18 | 1.2x | 43 | 64% |
| Parabolic SAR step=0.005, maxStep=0.18 |
2.4% | -12.8% | 0.32 | 0.19 | 1.2x | 60 | 68% |
| 볼린저 밴드 돌파 n=58, k=1.1 |
1.8% | -15.3% | 0.27 | 0.12 | 1.1x | 36 | 59% |
| MACD fast=16, slow=62, signal=14 |
-2.9% | -28.7% | -0.37 | -0.10 | 0.8x | 90 | 51% |
| Buy and hold | 8.0% | -28.5% | 0.65 | 0.28 | 1.7x | 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 18-day average price crosses above the 140-day average
- Sell — Sell (to cash) when the 18-day average falls below the 140-day average