Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Data#3 Limited. backtest
10 trend-following strategies were compared on the full daily history of Data#3 Limited.. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 16.5%, MDD -47.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 15.4%, drawdown -92.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 16.5%, MDD -47.2%, Sharpe 0.63, 66% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 44.8%p (CAGR 16.5%, MDD -47.2%, exposure 66%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=80, slow=184 |
16.5% | -47.2% | 0.63 | 0.35 | 79.7x | 21 | 66% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=5, mult=3.6 |
12.8% | -57.1% | 0.63 | 0.22 | 31.7x | 73 | 35% |
| SMA 크로스오버 fast=30, slow=210 |
15.7% | -53.7% | 0.62 | 0.29 | 65.8x | 49 | 63% |
| Donchian 채널 돌파 entryN=80, exitN=44 |
12.3% | -54.7% | 0.55 | 0.23 | 28.1x | 59 | 50% |
| Supertrend period=25, mult=4.5 |
9.3% | -59.7% | 0.44 | 0.16 | 12.9x | 135 | 54% |
| 볼린저 밴드 돌파 n=57, k=2.6 |
7.4% | -51.5% | 0.43 | 0.14 | 7.7x | 81 | 31% |
| Parabolic SAR step=0.01, maxStep=0.32 |
7.2% | -71.0% | 0.38 | 0.10 | 7.4x | 309 | 52% |
| ADX / DI 방향성 period=34, threshold=37 |
2.5% | -23.8% | 0.36 | 0.10 | 2.0x | 4 | 2% |
| ROC 모멘텀 n=83, threshold=0.01 |
5.7% | -71.1% | 0.33 | 0.08 | 4.9x | 305 | 56% |
| MACD fast=22, slow=42, signal=18 |
-1.0% | -78.9% | 0.11 | -0.01 | 0.7x | 309 | 48% |
| Buy and hold | 15.4% | -92.1% | 0.54 | 0.17 | 60.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 80-day EMA crosses above the 184-day EMA
- Sell — Sell when the 80-day EMA falls below the 184-day EMA