Trend-Following Backtester · Guide · backtest 한국어
equity · AU
DroneShield Limited backtest
10 trend-following strategies were compared on the full daily history of DroneShield Limited. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 35.7%, MDD -54.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 18.6%, drawdown -82.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 35.7%, MDD -54.1%, Sharpe 0.86, 21% exposure.
CAGR reference leader: Supertrend — CAGR 40.7%, MDD -63.2%, exposure 58%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 17.1%p higher than buy and hold, while drawdown improves by 28.5%p (CAGR 35.7%, MDD -54.1%, exposure 21%).
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=113, exitN=20 |
35.7% | -54.1% | 0.86 | 0.66 | 21.9x | 18 | 21% |
| ADX / DI 방향성 period=30, threshold=23 |
35.5% | -66.7% | 0.84 | 0.53 | 21.5x | 22 | 25% |
| Supertrend period=16, mult=4.8 |
40.7% | -63.2% | 0.82 | 0.64 | 31.4x | 28 | 58% |
| 볼린저 밴드 돌파 n=68, k=2.4 |
35.5% | -62.1% | 0.81 | 0.57 | 21.5x | 24 | 31% |
| SMA 크로스오버 fast=36, slow=97 |
35.3% | -74.0% | 0.78 | 0.48 | 21.2x | 26 | 46% |
| Parabolic SAR step=0.01, maxStep=0.2 |
30.3% | -76.6% | 0.71 | 0.40 | 14.5x | 104 | 44% |
| EMA 크로스오버 fast=44, slow=50 |
28.9% | -77.0% | 0.70 | 0.38 | 13.0x | 28 | 46% |
| MACD fast=16, slow=58, signal=31 |
29.8% | -62.7% | 0.70 | 0.48 | 14.0x | 76 | 46% |
| ROC 모멘텀 n=79, threshold=0.19 |
28.4% | -70.0% | 0.70 | 0.41 | 12.5x | 72 | 34% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=23, mult=2.2 |
26.0% | -63.0% | 0.68 | 0.41 | 10.3x | 44 | 33% |
| Buy and hold | 18.6% | -82.6% | 0.62 | 0.23 | 5.6x | 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 113 days
- Sell — Sell when price breaks below the lowest low of the last 20 days