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 11.3%, MDD -32.3%).

Data 1996-07-31 ~ 2026-07-31daily bars 7,654 (30.0 years)Costs 0.5%Venue ASXMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 12.9%, drawdown -83.8%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.3%, 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 11.3%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=76, exitN=58
11.3%-32.3%0.660.3524.8x5159%
Supertrend
period=26, mult=4.5
10.2%-40.6%0.580.2518.4x12960%
EMA 크로스오버
fast=20, slow=235
10.1%-47.1%0.560.2117.9x4770%
SMA 크로스오버
fast=54, slow=191
10.0%-52.5%0.550.1917.2x4567%
ROC 모멘텀
n=149, threshold=0.01
9.2%-46.0%0.540.2014.2x18366%
볼린저 밴드 돌파
n=20, k=2.6
6.2%-29.5%0.500.216.1x12024%
ADX / DI 방향성
period=17, threshold=25
5.9%-35.3%0.490.175.5x11223%
Keltner 채널 돌파
emaPeriod=59, atrPeriod=27, mult=3.5
6.8%-36.3%0.480.197.1x10139%
MACD
fast=19, slow=40, signal=25
3.9%-58.3%0.290.073.1x29851%
Parabolic SAR
step=0.015, maxStep=0.08
2.3%-68.5%0.210.032.0x43859%
Buy and hold12.9%-83.8%0.540.1538.2x1100%
1x 10x 1997 2001 2005 2009 2013 2017 2021 2025 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -21% -42% -63% -84% 1997 2001 2005 2009 2013 2017 2021 2025 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -32.3% (2009-09-30 → 2012-09-05), recovered after 1,311 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

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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