Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Macquarie Group, Ltd. backtest
10 trend-following strategies were compared on the full daily history of Macquarie Group, Ltd.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.2%, MDD -32.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.8%, drawdown -83.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.2%, MDD -32.3%, Sharpe 0.66, 59% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 51.5%p (CAGR 11.2%, MDD -32.3%, exposure 59%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=76, exitN=58 |
11.2% | -32.3% | 0.66 | 0.35 | 24.5x | 51 | 59% |
| Supertrend period=26, mult=4.5 |
10.1% | -40.6% | 0.58 | 0.25 | 18.2x | 129 | 60% |
| EMA 크로스오버 fast=20, slow=235 |
10.0% | -47.1% | 0.56 | 0.21 | 17.8x | 47 | 70% |
| SMA 크로스오버 fast=54, slow=191 |
9.9% | -52.5% | 0.54 | 0.19 | 17.1x | 45 | 67% |
| ROC 모멘텀 n=149, threshold=0.01 |
9.2% | -46.0% | 0.54 | 0.20 | 14.0x | 183 | 66% |
| 볼린저 밴드 돌파 n=20, k=2.6 |
6.0% | -29.5% | 0.49 | 0.20 | 5.8x | 122 | 24% |
| ADX / DI 방향성 period=17, threshold=25 |
5.8% | -35.3% | 0.49 | 0.17 | 5.5x | 112 | 23% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=27, mult=3.5 |
6.7% | -36.3% | 0.48 | 0.18 | 7.0x | 102 | 39% |
| MACD fast=19, slow=40, signal=25 |
3.8% | -58.3% | 0.28 | 0.06 | 3.0x | 300 | 51% |
| Parabolic SAR step=0.015, maxStep=0.08 |
2.1% | -68.5% | 0.20 | 0.03 | 1.9x | 440 | 59% |
| Buy and hold | 12.8% | -83.8% | 0.53 | 0.15 | 37.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 76 days
- Sell — Sell when price breaks below the lowest low of the last 58 days