Trend-Following Backtester · Guide · backtest 한국어
etf · AU
BetaShares Crude Oil Index ETF-Currency Hedged (Synthetic) backtest
10 trend-following strategies were compared on the full daily history of BetaShares Crude Oil Index ETF-Currency Hedged (Synthetic). 10 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 4.5%, MDD -26.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -12.0%, drawdown -95.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.5%, MDD -26.2%, Sharpe 0.31, 15% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 16.5%p higher than buy and hold, while drawdown improves by 69.7%p (CAGR 4.5%, MDD -26.2%, exposure 15%).
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=151, exitN=20 |
4.5% | -26.2% | 0.31 | 0.17 | 1.9x | 24 | 15% |
| 볼린저 밴드 돌파 n=58, k=2.9 |
3.2% | -26.2% | 0.26 | 0.12 | 1.6x | 16 | 11% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=18, mult=4 |
3.2% | -38.7% | 0.25 | 0.08 | 1.6x | 54 | 21% |
| MACD fast=23, slow=45, signal=23 |
2.7% | -64.3% | 0.23 | 0.04 | 1.5x | 129 | 51% |
| Parabolic SAR step=0.005, maxStep=0.08 |
1.3% | -48.6% | 0.18 | 0.03 | 1.2x | 99 | 48% |
| SMA 크로스오버 fast=10, slow=71 |
0.7% | -46.4% | 0.15 | 0.02 | 1.1x | 70 | 46% |
| EMA 크로스오버 fast=14, slow=59 |
0.6% | -45.7% | 0.15 | 0.01 | 1.1x | 67 | 45% |
| ROC 모멘텀 n=61, threshold=0.11 |
-1.1% | -53.9% | 0.06 | -0.02 | 0.8x | 152 | 21% |
| Supertrend period=23, mult=4 |
-2.0% | -61.8% | 0.06 | -0.03 | 0.7x | 133 | 49% |
| ADX / DI 방향성 period=10, threshold=28 |
-2.2% | -62.6% | -0.01 | -0.03 | 0.7x | 130 | 18% |
| Buy and hold | -12.0% | -95.9% | -0.09 | -0.13 | 0.2x | 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 151 days
- Sell — Sell when price breaks below the lowest low of the last 20 days