Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Medibank Private Ltd. backtest
10 trend-following strategies were compared on the full daily history of Medibank Private Ltd.. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 9.3%, MDD -21.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.8%, drawdown -32.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.6%, MDD -9.8%, Sharpe 0.67, 13% exposure.
CAGR reference leader: MACD — CAGR 9.3%, MDD -21.5%, exposure 50%.
Return/drawdown alternative: MACD — CAGR is 2.2%p lower than buy and hold, while drawdown improves by 22.6%p (CAGR 9.3%, MDD -21.5%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=38, k=3.4 |
5.6% | -9.8% | 0.67 | 0.57 | 1.9x | 10 | 13% |
| MACD fast=29, slow=73, signal=28 |
9.3% | -21.5% | 0.66 | 0.43 | 2.8x | 61 | 50% |
| SMA 크로스오버 fast=37, slow=53 |
8.7% | -22.4% | 0.61 | 0.39 | 2.6x | 55 | 55% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=16, mult=2.3 |
6.4% | -15.5% | 0.56 | 0.41 | 2.1x | 39 | 33% |
| Supertrend period=18, mult=4.5 |
6.5% | -25.9% | 0.48 | 0.25 | 2.1x | 29 | 58% |
| ADX / DI 방향성 period=19, threshold=27 |
3.9% | -17.2% | 0.48 | 0.22 | 1.6x | 36 | 16% |
| Donchian 채널 돌파 entryN=50, exitN=16 |
4.9% | -22.5% | 0.44 | 0.22 | 1.8x | 43 | 37% |
| EMA 크로스오버 fast=30, slow=33 |
3.0% | -28.2% | 0.27 | 0.10 | 1.4x | 53 | 55% |
| Parabolic SAR step=0.005, maxStep=0.22 |
2.3% | -39.0% | 0.22 | 0.06 | 1.3x | 93 | 55% |
| ROC 모멘텀 n=58, threshold=0.03 |
0.5% | -33.6% | 0.10 | 0.01 | 1.1x | 123 | 44% |
| Buy and hold | 7.8% | -32.4% | 0.44 | 0.24 | 2.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 38-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 38-day middle average