Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Mirvac Group backtest
10 trend-following strategies were compared on the full daily history of Mirvac Group. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.5%, MDD -30.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR -0.4%, drawdown -89.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 2.6%, MDD -46.1%, Sharpe 0.23, 88% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 43.7%p (CAGR 0.5%, MDD -30.7%, exposure 10%).
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 n=113, threshold=-0.13 |
2.6% | -46.1% | 0.23 | 0.06 | 2.4x | 107 | 88% |
| Donchian 채널 돌파 entryN=33, exitN=99 |
0.9% | -48.0% | 0.16 | 0.02 | 1.3x | 71 | 78% |
| ADX / DI 방향성 period=25, threshold=34 |
0.5% | -30.7% | 0.11 | 0.02 | 1.2x | 32 | 10% |
| SMA 크로스오버 fast=42, slow=181 |
-0.4% | -55.0% | 0.09 | -0.01 | 0.9x | 64 | 59% |
| EMA 크로스오버 fast=17, slow=150 |
-1.2% | -52.1% | 0.05 | -0.02 | 0.7x | 100 | 59% |
| Supertrend period=12, mult=4.8 |
-6.2% | -94.9% | -0.20 | -0.06 | 0.1x | 134 | 50% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-7.3% | -93.7% | -0.23 | -0.08 | 0.1x | 231 | 51% |
| MACD fast=23, slow=58, signal=18 |
-8.4% | -95.9% | -0.25 | -0.09 | 0.1x | 311 | 52% |
| 볼린저 밴드 돌파 n=87, k=0.8 |
-8.5% | -96.0% | -0.38 | -0.09 | 0.0x | 209 | 44% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=10, mult=4 |
-6.2% | -92.2% | -0.44 | -0.07 | 0.1x | 82 | 16% |
| Buy and hold | -0.4% | -89.7% | 0.15 | -0.00 | 0.9x | 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 113-day return is greater than -13%
- Sell — Sell when the 113-day return drops to -13% or below