Trend-Following Backtester · Guide · backtest 한국어
etf · AU
Betashares Australian Credit Income Active ETF Units Managed Fund backtest
10 trend-following strategies were compared on the full daily history of Betashares Australian Credit Income Active ETF Units Managed Fund. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 0.0%, drawdown -16.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.3%, MDD -6.6%, Sharpe 0.10, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 98% n=20, threshold=-0.04 |
0.3% | -6.6% | 0.10 | 0.04 | 1.0x | 3 | 98% |
| Supertrend period=23, mult=4.9 |
-0.3% | -8.4% | -0.12 | -0.04 | 1.0x | 20 | 64% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=25, mult=2.9 |
-0.1% | -1.7% | -0.15 | -0.05 | 1.0x | 4 | 3% |
| SMA 크로스오버 fast=55, slow=161 |
-0.4% | -3.8% | -0.18 | -0.09 | 1.0x | 12 | 53% |
| 볼린저 밴드 돌파 n=57, k=2.8 |
-0.1% | -1.5% | -0.19 | -0.06 | 1.0x | 2 | 2% |
| ADX / DI 방향성 period=28, threshold=31 |
-0.1% | -0.8% | -0.19 | -0.10 | 1.0x | 2 | 2% |
| Donchian 채널 돌파 entryN=47, exitN=54 |
-0.6% | -8.6% | -0.28 | -0.07 | 1.0x | 17 | 55% |
| EMA 크로스오버 fast=39, slow=148 |
-1.2% | -10.5% | -0.61 | -0.12 | 0.9x | 20 | 55% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-3.3% | -25.4% | -1.36 | -0.13 | 0.7x | 68 | 53% |
| MACD fast=29, slow=39, signal=23 |
-3.2% | -25.5% | -1.49 | -0.12 | 0.8x | 68 | 48% |
| Buy and hold | 0.0% | -16.6% | 0.03 | 0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 20-day return is greater than -4%
- Sell — Sell when the 20-day return drops to -4% or below