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 8.4%, MDD -8.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.0%, drawdown -28.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.4%, MDD -8.5%, Sharpe 1.03, 70% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 20.0%p (CAGR 8.4%, MDD -8.5%, exposure 70%).
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=26, slow=138 |
8.4% | -8.5% | 1.03 | 0.99 | 1.7x | 9 | 70% |
| EMA 크로스오버 fast=27, slow=118 |
7.7% | -9.3% | 0.92 | 0.83 | 1.6x | 9 | 73% |
| Donchian 채널 돌파 entryN=76, exitN=52 |
5.9% | -8.2% | 0.79 | 0.72 | 1.5x | 9 | 57% |
| ROC 모멘텀 n=91, threshold=-0.01 |
6.1% | -10.7% | 0.74 | 0.56 | 1.5x | 35 | 74% |
| Supertrend period=29, mult=4.2 |
6.1% | -17.0% | 0.70 | 0.36 | 1.5x | 25 | 68% |
| ADX / DI 방향성 period=36, threshold=14 |
4.0% | -8.9% | 0.60 | 0.45 | 1.3x | 23 | 56% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=12, mult=1.2 |
4.3% | -11.4% | 0.58 | 0.38 | 1.3x | 33 | 65% |
| Parabolic SAR step=0.005, maxStep=0.24 |
2.6% | -12.8% | 0.35 | 0.20 | 1.2x | 59 | 68% |
| 볼린저 밴드 돌파 n=59, k=1.1 |
1.5% | -15.3% | 0.24 | 0.10 | 1.1x | 35 | 58% |
| MACD fast=18, slow=46, signal=18 |
-3.5% | -33.2% | -0.44 | -0.11 | 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 26-day average price crosses above the 138-day average
- Sell — Sell (to cash) when the 26-day average falls below the 138-day average