Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Transurban Group Ltd. backtest
10 trend-following strategies were compared on the full daily history of Transurban Group Ltd.. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 8.7%, drawdown -56.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.2%, MDD -8.4%, Sharpe 0.49, 7% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 9.2%, MDD -52.6%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=34, threshold=38 |
3.2% | -8.4% | 0.49 | 0.38 | 2.6x | 8 | 7% |
| ROC 모멘텀 Hold-like · Exposure 100% n=2, threshold=-0.14 |
9.2% | -52.6% | 0.48 | 0.17 | 14.4x | 5 | 100% |
| Supertrend period=11, mult=4.7 |
5.9% | -43.3% | 0.42 | 0.14 | 5.7x | 93 | 58% |
| Donchian 채널 돌파 entryN=29, exitN=77 |
5.9% | -45.9% | 0.40 | 0.13 | 5.7x | 61 | 76% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=17, mult=4 |
2.5% | -20.2% | 0.39 | 0.12 | 2.1x | 20 | 6% |
| 볼린저 밴드 돌파 n=50, k=3.5 |
2.2% | -15.2% | 0.35 | 0.15 | 2.0x | 20 | 9% |
| SMA 크로스오버 fast=23, slow=72 |
4.0% | -58.5% | 0.31 | 0.07 | 3.3x | 114 | 59% |
| EMA 크로스오버 fast=26, slow=109 |
3.6% | -63.9% | 0.29 | 0.06 | 2.9x | 79 | 65% |
| MACD fast=31, slow=88, signal=17 |
1.2% | -61.0% | 0.15 | 0.02 | 1.4x | 248 | 52% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-0.8% | -73.1% | 0.04 | -0.01 | 0.8x | 240 | 56% |
| Buy and hold | 8.7% | -56.8% | 0.46 | 0.15 | 12.7x | 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, 34-day) is ≥ 38
- Sell — Sell when direction flips or the trend weakens (ADX < 38)