Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Suncorp Group Limited backtest
10 trend-following strategies were compared on the full daily history of Suncorp Group Limited. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.9%, MDD -35.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.8%, drawdown -77.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.9%, MDD -35.5%, Sharpe 0.46, 63% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 7.9%, MDD -47.7%, exposure 90%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 42.4%p (CAGR 6.9%, MDD -35.5%, exposure 63%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=50, slow=246 |
6.9% | -35.5% | 0.46 | 0.20 | 12.8x | 47 | 63% |
| ROC 모멘텀 n=147, threshold=-0.15 |
7.9% | -47.7% | 0.45 | 0.17 | 18.1x | 77 | 90% |
| EMA 크로스오버 fast=75, slow=351 |
6.2% | -42.7% | 0.42 | 0.14 | 9.7x | 30 | 68% |
| ADX / DI 방향성 period=98, threshold=39 |
1.9% | -16.4% | 0.31 | 0.11 | 2.0x | 6 | 10% |
| Donchian 채널 돌파 entryN=104, exitN=58 |
3.2% | -39.6% | 0.28 | 0.08 | 3.4x | 71 | 49% |
| Supertrend period=29, mult=5 |
0.2% | -63.0% | 0.10 | 0.00 | 1.1x | 153 | 56% |
| 볼린저 밴드 돌파 n=44, k=2.5 |
-0.5% | -44.4% | 0.02 | -0.01 | 0.8x | 139 | 30% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=21, mult=2.8 |
-1.1% | -65.0% | -0.01 | -0.02 | 0.7x | 163 | 38% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-3.9% | -90.8% | -0.11 | -0.04 | 0.2x | 251 | 59% |
| MACD fast=6, slow=43, signal=15 |
-5.7% | -94.8% | -0.24 | -0.06 | 0.1x | 657 | 50% |
| Buy and hold | 6.8% | -77.9% | 0.38 | 0.09 | 12.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 50-day average price crosses above the 246-day average
- Sell — Sell (to cash) when the 50-day average falls below the 246-day average