Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Super Retail Group Limited backtest
10 trend-following strategies were compared on the full daily history of Super Retail Group Limited. 3 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.2%, MDD -31.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 9.1%, drawdown -74.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 9.2%, MDD -31.4%, Sharpe 0.63, 25% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 12.4%, MDD -64.4%, exposure 79%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 43.1%p (CAGR 9.2%, MDD -31.4%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=19, mult=3.7 |
9.2% | -31.4% | 0.63 | 0.29 | 7.1x | 44 | 25% |
| Donchian 채널 돌파 entryN=13, exitN=52 |
12.4% | -64.4% | 0.55 | 0.19 | 13.6x | 77 | 79% |
| 볼린저 밴드 돌파 n=54, k=3.1 |
5.8% | -20.7% | 0.54 | 0.28 | 3.5x | 22 | 13% |
| Parabolic SAR step=0.035, maxStep=0.04 |
9.3% | -49.0% | 0.49 | 0.19 | 7.3x | 232 | 55% |
| MACD fast=8, slow=27, signal=10 |
9.0% | -42.8% | 0.48 | 0.21 | 6.8x | 419 | 50% |
| Supertrend period=23, mult=4.8 |
8.4% | -53.3% | 0.46 | 0.16 | 6.1x | 78 | 57% |
| ADX / DI 방향성 period=38, threshold=24 |
4.0% | -32.6% | 0.44 | 0.12 | 2.4x | 26 | 9% |
| SMA 크로스오버 fast=41, slow=49 |
7.6% | -57.3% | 0.43 | 0.13 | 5.1x | 158 | 56% |
| EMA 크로스오버 fast=23, slow=166 |
5.3% | -64.7% | 0.34 | 0.08 | 3.2x | 46 | 56% |
| ROC 모멘텀 n=47, threshold=0.06 |
4.1% | -60.5% | 0.30 | 0.07 | 2.5x | 316 | 39% |
| Buy and hold | 9.1% | -74.4% | 0.43 | 0.12 | 7.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 52-day average + 3.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 52-day average