Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Sims Ltd. backtest
10 trend-following strategies were compared on the full daily history of Sims Ltd.. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.3%, MDD -62.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.8%, drawdown -86.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.3%, MDD -62.9%, Sharpe 0.41, 54% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 23.6%p (CAGR 7.3%, MDD -62.9%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=46, slow=412 |
7.3% | -62.9% | 0.41 | 0.12 | 11.4x | 25 | 54% |
| SMA 크로스오버 fast=40, slow=71 |
5.0% | -72.5% | 0.31 | 0.07 | 5.5x | 131 | 54% |
| 볼린저 밴드 돌파 n=70, k=2.1 |
4.3% | -42.9% | 0.31 | 0.10 | 4.2x | 98 | 33% |
| Donchian 채널 돌파 entryN=49, exitN=74 |
4.6% | -84.4% | 0.30 | 0.05 | 4.8x | 73 | 67% |
| ADX / DI 방향성 period=41, threshold=35 |
2.8% | -36.2% | 0.29 | 0.08 | 2.6x | 20 | 9% |
| Parabolic SAR step=0.005, maxStep=0.12 |
4.3% | -71.6% | 0.29 | 0.06 | 4.3x | 232 | 51% |
| MACD fast=18, slow=48, signal=23 |
2.2% | -63.0% | 0.21 | 0.04 | 2.1x | 318 | 51% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=29, mult=2.4 |
2.0% | -61.2% | 0.19 | 0.03 | 2.0x | 154 | 39% |
| Supertrend period=10, mult=3.1 |
1.6% | -75.4% | 0.19 | 0.02 | 1.7x | 240 | 53% |
| ROC 모멘텀 n=146, threshold=0.02 |
1.2% | -82.1% | 0.17 | 0.01 | 1.5x | 245 | 53% |
| Buy and hold | 6.8% | -86.5% | 0.36 | 0.08 | 9.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 46-day EMA crosses above the 412-day EMA
- Sell — Sell when the 46-day EMA falls below the 412-day EMA