Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Region Group backtest
10 trend-following strategies were compared on the full daily history of Region Group. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 3.2%, drawdown -38.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 3.7%, MDD -37.8%, Sharpe 0.28, 99% 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 99% n=7, threshold=-0.09 |
3.7% | -37.8% | 0.28 | 0.10 | 1.6x | 13 | 99% |
| ADX / DI 방향성 period=35, threshold=36 |
0.3% | -9.6% | 0.10 | 0.03 | 1.0x | 2 | 2% |
| SMA 크로스오버 fast=51, slow=215 |
-0.4% | -37.7% | 0.05 | -0.01 | 0.9x | 19 | 58% |
| Donchian 채널 돌파 entryN=23, exitN=71 |
-0.8% | -35.9% | 0.04 | -0.02 | 0.9x | 37 | 77% |
| 볼린저 밴드 돌파 n=13, k=3 |
-0.0% | -4.3% | -0.00 | -0.00 | 1.0x | 2 | 0% |
| EMA 크로스오버 fast=59, slow=151 |
-1.7% | -40.4% | -0.03 | -0.04 | 0.8x | 23 | 60% |
| Supertrend period=14, mult=4.2 |
-2.9% | -54.1% | -0.13 | -0.05 | 0.7x | 46 | 59% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=10, mult=3.3 |
-0.4% | -5.9% | -0.26 | -0.07 | 0.9x | 2 | 0% |
| MACD fast=23, slow=54, signal=15 |
-6.6% | -62.7% | -0.42 | -0.11 | 0.4x | 156 | 50% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-9.7% | -78.3% | -0.60 | -0.12 | 0.2x | 248 | 53% |
| Buy and hold | 3.2% | -38.0% | 0.26 | 0.08 | 1.5x | 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 7-day return is greater than -9%
- Sell — Sell when the 7-day return drops to -9% or below