Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Harvey Norman Holdings Ltd backtest
10 trend-following strategies were compared on the full daily history of Harvey Norman Holdings Ltd. 2 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 10.7%, MDD -16.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 13.2%, drawdown -75.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 10.7%, MDD -16.5%, Sharpe 0.78, 21% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 13.5%, MDD -60.8%, exposure 60%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.5%p lower than buy and hold, while drawdown improves by 58.6%p (CAGR 10.7%, MDD -16.5%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=36, threshold=37 |
10.7% | -16.5% | 0.78 | 0.65 | 50.6x | 26 | 21% |
| 볼린저 밴드 돌파 n=16, k=3.5 |
8.8% | -24.2% | 0.69 | 0.36 | 25.6x | 54 | 20% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=21, mult=4 |
8.8% | -24.2% | 0.68 | 0.36 | 25.7x | 60 | 21% |
| SMA 크로스오버 fast=12, slow=168 |
13.5% | -60.8% | 0.66 | 0.22 | 133.6x | 86 | 60% |
| EMA 크로스오버 fast=40, slow=126 |
13.4% | -47.5% | 0.65 | 0.28 | 128.2x | 60 | 62% |
| Donchian 채널 돌파 entryN=107, exitN=78 |
11.7% | -44.4% | 0.61 | 0.26 | 71.0x | 60 | 53% |
| Supertrend period=16, mult=4.1 |
11.9% | -51.2% | 0.60 | 0.23 | 75.7x | 154 | 57% |
| ROC 모멘텀 n=47, threshold=-0.04 |
10.8% | -64.8% | 0.53 | 0.17 | 52.8x | 354 | 71% |
| MACD fast=30, slow=39, signal=27 |
7.8% | -47.3% | 0.47 | 0.17 | 18.3x | 276 | 51% |
| Parabolic SAR step=0.005, maxStep=0.36 |
8.6% | -74.6% | 0.46 | 0.11 | 23.7x | 258 | 60% |
| Buy and hold | 13.2% | -75.2% | 0.55 | 0.18 | 119.6x | 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, 36-day) is ≥ 37
- Sell — Sell when direction flips or the trend weakens (ADX < 37)