Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Downer EDI Limited backtest
10 trend-following strategies were compared on the full daily history of Downer EDI Limited. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.9%, drawdown -69.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.4%, MDD -84.9%, Sharpe 0.36, 77% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=18, exitN=50 |
7.4% | -84.9% | 0.36 | 0.09 | 12.6x | 151 | 77% |
| SMA 크로스오버 fast=50, slow=105 |
4.8% | -82.3% | 0.29 | 0.06 | 5.2x | 89 | 57% |
| EMA 크로스오버 fast=33, slow=160 |
4.5% | -75.8% | 0.29 | 0.06 | 4.8x | 57 | 59% |
| ROC 모멘텀 n=150, threshold=-0.04 |
3.5% | -88.5% | 0.26 | 0.04 | 3.4x | 215 | 64% |
| Supertrend period=25, mult=4 |
2.4% | -79.7% | 0.22 | 0.03 | 2.3x | 169 | 54% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=24, mult=3.7 |
2.4% | -67.2% | 0.21 | 0.04 | 2.3x | 88 | 29% |
| MACD fast=19, slow=44, signal=11 |
0.7% | -72.0% | 0.16 | 0.01 | 1.3x | 446 | 50% |
| 볼린저 밴드 돌파 n=55, k=2.4 |
-0.6% | -79.3% | 0.09 | -0.01 | 0.8x | 104 | 31% |
| ADX / DI 방향성 period=38, threshold=37 |
0.1% | -58.1% | 0.09 | 0.00 | 1.0x | 24 | 10% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-2.3% | -86.7% | 0.06 | -0.03 | 0.4x | 219 | 54% |
| Buy and hold | 7.9% | -69.5% | 0.38 | 0.11 | 14.9x | 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 18 days
- Sell — Sell when price breaks below the lowest low of the last 50 days