Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Dexus backtest
10 trend-following strategies were compared on the full daily history of Dexus. 5 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.2%, MDD -5.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR -1.1%, drawdown -72.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.5%, MDD -10.7%, Sharpe 0.16, 3% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 0.8%, MDD -32.4%, exposure 32%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 61.4%p (CAGR 0.2%, MDD -5.1%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=43, threshold=20 |
0.5% | -10.7% | 0.16 | 0.04 | 1.1x | 6 | 3% |
| Donchian 채널 돌파 entryN=139, exitN=49 |
0.8% | -32.4% | 0.12 | 0.02 | 1.2x | 26 | 32% |
| SMA 크로스오버 fast=56, slow=193 |
0.3% | -46.1% | 0.10 | 0.01 | 1.1x | 38 | 57% |
| ROC 모멘텀 n=17, threshold=0.29 |
0.2% | -5.1% | 0.08 | 0.03 | 1.0x | 4 | 0% |
| EMA 크로스오버 fast=42, slow=155 |
-1.9% | -57.9% | -0.04 | -0.03 | 0.7x | 44 | 58% |
| Supertrend period=26, mult=5 |
-3.5% | -64.9% | -0.12 | -0.05 | 0.5x | 53 | 55% |
| 볼린저 밴드 돌파 n=48, k=3.4 |
-0.6% | -12.9% | -0.15 | -0.04 | 0.9x | 8 | 2% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=10, mult=3.8 |
-2.2% | -40.8% | -0.27 | -0.05 | 0.6x | 34 | 14% |
| MACD fast=19, slow=58, signal=24 |
-11.5% | -94.1% | -0.52 | -0.12 | 0.1x | 243 | 52% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-14.6% | -97.0% | -0.72 | -0.15 | 0.0x | 395 | 52% |
| Buy and hold | -1.1% | -72.0% | 0.11 | -0.02 | 0.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 43-day) is ≥ 20
- Sell — Sell when direction flips or the trend weakens (ADX < 20)