Trend-Following Backtester · Guide · backtest 한국어

equity · AU

Washington H. Soul Pattinson and Company Limited backtest

10 trend-following strategies were compared on the full daily history of Washington H. Soul Pattinson and Company Limited. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 9.6%, MDD -41.6%).

Data 1988-01-28 ~ 2026-07-31daily bars 9,872 (38.5 years)Costs 0.5%Venue ASXMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 11.1%, drawdown -60.7%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.6%, MDD -41.6%, Sharpe 0.54, 86% exposure.

Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 19.1%p (CAGR 9.6%, MDD -41.6%, exposure 86%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
n=89, threshold=-0.1
9.6%-41.6%0.540.2333.6x13186%
ADX / DI 방향성
period=38, threshold=26
5.8%-35.9%0.530.168.8x4823%
SMA 크로스오버
fast=58, slow=124
7.8%-46.0%0.510.1717.8x8159%
Donchian 채널 돌파
entryN=58, exitN=76
7.4%-42.3%0.480.1715.5x7564%
EMA 크로스오버
fast=31, slow=148
7.3%-51.7%0.480.1414.9x7763%
Supertrend
period=12, mult=3.3
6.9%-43.0%0.470.1612.9x20553%
Keltner 채널 돌파
emaPeriod=48, atrPeriod=13, mult=3.6
5.4%-40.2%0.440.137.6x10733%
볼린저 밴드 돌파
n=54, k=2.6
4.9%-31.4%0.420.166.3x10732%
Parabolic SAR
step=0.005, maxStep=0.36
5.8%-42.6%0.410.148.8x23355%
MACD
fast=30, slow=60, signal=21
2.8%-48.1%0.250.062.9x30049%
Buy and hold11.1%-60.7%0.570.1856.7x1100%
1x 10x 1989 1994 1999 2004 2009 2014 2019 2024 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -15% -30% -45% -61% 1989 1994 1999 2004 2009 2014 2019 2024 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -41.6% (2019-03-05 → 2020-06-15), recovered after 770 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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