Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Reece Limited backtest
10 trend-following strategies were compared on the full daily history of Reece Limited. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.5%, MDD -38.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.3%, drawdown -65.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.5%, MDD -38.2%, Sharpe 0.68, 64% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 26.9%p (CAGR 12.5%, MDD -38.2%, exposure 64%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=51, slow=234 |
12.5% | -38.2% | 0.68 | 0.33 | 93.2x | 33 | 64% |
| EMA 크로스오버 fast=87, slow=162 |
12.3% | -42.4% | 0.67 | 0.29 | 88.5x | 29 | 67% |
| Donchian 채널 돌파 entryN=68, exitN=45 |
10.7% | -33.4% | 0.66 | 0.32 | 51.4x | 85 | 53% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=15, mult=3 |
9.5% | -35.1% | 0.61 | 0.27 | 33.1x | 123 | 52% |
| 볼린저 밴드 돌파 n=58, k=2.6 |
7.7% | -23.8% | 0.58 | 0.32 | 17.5x | 88 | 35% |
| ROC 모멘텀 n=174, threshold=-0.04 |
10.1% | -49.1% | 0.57 | 0.21 | 41.5x | 159 | 72% |
| ADX / DI 방향성 period=33, threshold=18 |
7.5% | -26.8% | 0.54 | 0.28 | 16.4x | 158 | 42% |
| Parabolic SAR step=0.005, maxStep=0.26 |
9.5% | -53.9% | 0.53 | 0.18 | 33.5x | 184 | 58% |
| Supertrend period=20, mult=5 |
6.8% | -49.8% | 0.41 | 0.14 | 12.5x | 187 | 58% |
| MACD fast=23, slow=64, signal=18 |
-0.4% | -65.7% | 0.07 | -0.01 | 0.9x | 342 | 51% |
| Buy and hold | 13.3% | -65.1% | 0.59 | 0.20 | 121.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 51-day average price crosses above the 234-day average
- Sell — Sell (to cash) when the 51-day average falls below the 234-day average