Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Tabcorp Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of Tabcorp Holdings Limited. 2 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.9%, MDD -47.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.7%, drawdown -75.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.3%, MDD -16.0%, Sharpe 0.54, 11% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 7.9%, MDD -72.5%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 59.2%p (CAGR 5.9%, MDD -47.6%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=54, threshold=34 |
4.3% | -16.0% | 0.54 | 0.27 | 3.8x | 10 | 11% |
| ROC 모멘텀 Hold-like · Exposure 100% n=6, threshold=-0.15 |
7.9% | -72.5% | 0.40 | 0.11 | 11.5x | 11 | 100% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=8, mult=3.9 |
3.3% | -28.3% | 0.38 | 0.12 | 2.8x | 44 | 16% |
| SMA 크로스오버 fast=31, slow=148 |
5.9% | -47.6% | 0.37 | 0.12 | 6.2x | 66 | 58% |
| EMA 크로스오버 fast=53, slow=127 |
5.1% | -57.6% | 0.33 | 0.09 | 4.9x | 52 | 59% |
| Donchian 채널 돌파 entryN=64, exitN=45 |
4.0% | -53.9% | 0.30 | 0.07 | 3.5x | 72 | 49% |
| 볼린저 밴드 돌파 n=41, k=2.8 |
1.5% | -40.1% | 0.19 | 0.04 | 1.6x | 72 | 19% |
| Supertrend period=16, mult=5 |
1.7% | -64.2% | 0.18 | 0.03 | 1.7x | 103 | 57% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-1.4% | -85.5% | 0.03 | -0.02 | 0.6x | 243 | 54% |
| MACD fast=12, slow=24, signal=18 |
-7.8% | -96.2% | -0.30 | -0.08 | 0.1x | 509 | 48% |
| Buy and hold | 5.7% | -75.2% | 0.33 | 0.08 | 5.9x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 54-day) is ≥ 34
- Sell — Sell when direction flips or the trend weakens (ADX < 34)