Trend-Following Backtester · Guide · backtest 한국어
etf · AU
Betashares Australia 200 Fundamental Value ETF backtest
10 trend-following strategies were compared on the full daily history of Betashares Australia 200 Fundamental Value ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 4.4%, drawdown -37.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.7%, MDD -28.6%, Sharpe 0.46, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 98% n=12, threshold=-0.08 |
5.7% | -28.6% | 0.46 | 0.20 | 2.1x | 11 | 98% |
| 볼린저 밴드 돌파 n=58, k=3.1 |
0.9% | -7.3% | 0.27 | 0.13 | 1.1x | 8 | 9% |
| ADX / DI 방향성 period=35, threshold=24 |
0.2% | -1.6% | 0.24 | 0.10 | 1.0x | 2 | 1% |
| SMA 크로스오버 fast=36, slow=111 |
1.7% | -24.4% | 0.21 | 0.07 | 1.2x | 35 | 61% |
| Donchian 채널 돌파 entryN=66, exitN=76 |
1.1% | -22.0% | 0.16 | 0.05 | 1.1x | 25 | 57% |
| EMA 크로스오버 fast=40, slow=119 |
0.5% | -28.4% | 0.10 | 0.02 | 1.1x | 27 | 68% |
| Supertrend period=44, mult=4.3 |
-2.6% | -40.5% | -0.19 | -0.06 | 0.7x | 89 | 61% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=9, mult=3.3 |
-0.8% | -16.7% | -0.23 | -0.05 | 0.9x | 20 | 6% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-5.2% | -54.7% | -0.51 | -0.10 | 0.5x | 120 | 55% |
| MACD fast=13, slow=23, signal=16 |
-7.1% | -64.6% | -0.69 | -0.11 | 0.4x | 214 | 49% |
| Buy and hold | 4.4% | -37.0% | 0.36 | 0.12 | 1.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 12-day return is greater than -8%
- Sell — Sell when the 12-day return drops to -8% or below