Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Telstra Group Limited backtest
10 trend-following strategies were compared on the full daily history of Telstra Group Limited. 4 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.3%, MDD -10.3%).
Results by strategy
4 of 10 beat buy and hold (CAGR 1.9%, drawdown -66.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.4%, MDD -10.8%, Sharpe 0.43, 3% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 2.7%, MDD -46.9%, exposure 50%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 56.1%p (CAGR 2.3%, MDD -10.3%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=16, k=3.5 |
2.4% | -10.8% | 0.43 | 0.22 | 2.0x | 8 | 3% |
| ADX / DI 방향성 period=28, threshold=40 |
2.3% | -10.3% | 0.37 | 0.22 | 1.9x | 6 | 4% |
| EMA 크로스오버 fast=25, slow=211 |
2.7% | -46.9% | 0.28 | 0.06 | 2.2x | 36 | 50% |
| ROC 모멘텀 n=262, threshold=0.15 |
1.9% | -27.7% | 0.24 | 0.07 | 1.7x | 88 | 26% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=12, mult=4 |
1.7% | -32.2% | 0.22 | 0.05 | 1.6x | 56 | 19% |
| SMA 크로스오버 fast=7, slow=246 |
1.8% | -62.1% | 0.21 | 0.03 | 1.7x | 52 | 49% |
| Donchian 채널 돌파 entryN=116, exitN=43 |
1.3% | -44.6% | 0.17 | 0.03 | 1.4x | 52 | 34% |
| Supertrend period=10, mult=3.8 |
1.4% | -53.9% | 0.17 | 0.03 | 1.5x | 142 | 50% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-1.0% | -74.2% | 0.00 | -0.01 | 0.7x | 227 | 52% |
| MACD fast=19, slow=38, signal=19 |
-2.9% | -77.6% | -0.13 | -0.04 | 0.4x | 305 | 50% |
| Buy and hold | 1.9% | -66.9% | 0.19 | 0.03 | 1.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 16-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 16-day middle average