Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Scentre Group backtest
10 trend-following strategies were compared on the full daily history of Scentre Group. 2 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 2.3%, MDD -22.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 2.5%, drawdown -73.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.7%, MDD -47.3%, Sharpe 0.35, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 26.0%p (CAGR 2.3%, MDD -22.5%, exposure 37%).
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=8, threshold=-0.1 |
5.7% | -47.3% | 0.35 | 0.12 | 2.4x | 19 | 99% |
| SMA 크로스오버 fast=40, slow=170 |
3.5% | -39.5% | 0.30 | 0.09 | 1.7x | 29 | 53% |
| Donchian 채널 돌파 entryN=104, exitN=33 |
2.3% | -22.5% | 0.24 | 0.10 | 1.4x | 24 | 37% |
| EMA 크로스오버 fast=54, slow=214 |
1.6% | -41.2% | 0.18 | 0.04 | 1.3x | 17 | 53% |
| 볼린저 밴드 돌파 n=29, k=3.2 |
0.2% | -8.5% | 0.06 | 0.02 | 1.0x | 6 | 2% |
| Supertrend period=22, mult=3.8 |
-0.6% | -44.9% | 0.05 | -0.01 | 0.9x | 61 | 58% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=27, mult=3.5 |
0.1% | -4.8% | 0.04 | 0.02 | 1.0x | 2 | 1% |
| ADX / DI 방향성 period=25, threshold=23 |
-0.1% | -24.2% | 0.02 | -0.00 | 1.0x | 24 | 9% |
| MACD fast=14, slow=50, signal=15 |
-4.8% | -58.7% | -0.21 | -0.08 | 0.5x | 214 | 49% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-5.2% | -63.2% | -0.23 | -0.08 | 0.4x | 139 | 53% |
| Buy and hold | 2.5% | -73.4% | 0.22 | 0.03 | 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 8-day return is greater than -10%
- Sell — Sell when the 8-day return drops to -10% or below