Trend-Following Backtester · Guide · backtest 한국어

equity · AU

Megaport Ltd. backtest

10 trend-following strategies were compared on the full daily history of Megaport Ltd.. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 23.6%, MDD -47.4%).

Data 2015-12-16 ~ 2026-07-31daily bars 2,687 (10.6 years)Costs 0.5%Venue ASXMonthly snapshot 2026-07-31

Results by strategy

4 of 10 beat buy and hold (CAGR 23.3%, drawdown -81.9%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 26.9%, MDD -55.2%, Sharpe 0.81, 50% exposure.

CAGR reference leader: Donchian 채널 돌파 — CAGR 27.4%, MDD -49.7%, exposure 61%.

Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.6%p higher than buy and hold, while drawdown improves by 26.7%p (CAGR 23.6%, MDD -47.4%, exposure 54%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ADX / DI 방향성
period=32, threshold=11
26.9%-55.2%0.810.4912.6x7650%
Donchian 채널 돌파
entryN=29, exitN=48
27.4%-49.7%0.790.5513.0x2961%
Supertrend
period=9, mult=4.1
25.4%-59.2%0.740.4311.0x4257%
SMA 크로스오버
fast=32, slow=63
23.6%-47.4%0.740.509.5x3954%
EMA 크로스오버
fast=43, slow=70
22.8%-49.5%0.740.468.8x1955%
Keltner 채널 돌파
emaPeriod=37, atrPeriod=20, mult=2.1
19.5%-46.5%0.730.426.6x5636%
ROC 모멘텀
n=97, threshold=0
18.0%-59.9%0.620.305.8x9158%
볼린저 밴드 돌파
n=30, k=3.1
9.2%-21.9%0.590.422.6x1612%
Parabolic SAR
step=0.03, maxStep=0.26
12.2%-78.5%0.480.163.4x26050%
MACD
fast=14, slow=51, signal=9
11.1%-56.6%0.460.203.1x16048%
Buy and hold23.3%-81.9%0.640.289.2x1100%
1x 10x 2016 2018 2020 2022 2024 2026 Donchian 채널 돌파ADX / DI 방향성Buy and hold
ADX / DI 방향성 (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -20% -41% -61% -82% 2016 2018 2020 2022 2024 2026 Buy and holdDonchian 채널 돌파ADX / DI 방향성
ADX / DI 방향성 maximum drawdown -55.2% (2024-03-14 → 2024-12-30), recovered after 802 days.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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