Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Technology One Limited backtest
10 trend-following strategies were compared on the full daily history of Technology One Limited. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 14.8%, MDD -42.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 18.5%, drawdown -86.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 14.8%, MDD -42.6%, Sharpe 0.65, 67% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.7%p lower than buy and hold, while drawdown improves by 43.7%p (CAGR 14.8%, MDD -42.6%, exposure 67%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=33, slow=123 |
14.8% | -42.6% | 0.65 | 0.35 | 39.3x | 47 | 67% |
| SMA 크로스오버 fast=19, slow=117 |
12.9% | -42.6% | 0.59 | 0.30 | 25.5x | 75 | 64% |
| Donchian 채널 돌파 entryN=109, exitN=91 |
11.8% | -49.8% | 0.56 | 0.24 | 19.4x | 25 | 66% |
| ROC 모멘텀 n=148, threshold=-0.09 |
11.8% | -53.4% | 0.53 | 0.22 | 19.6x | 139 | 78% |
| Supertrend period=24, mult=4.7 |
9.3% | -59.0% | 0.47 | 0.16 | 10.7x | 84 | 59% |
| ADX / DI 방향성 period=48, threshold=5 |
7.1% | -57.2% | 0.39 | 0.12 | 6.2x | 301 | 60% |
| 볼린저 밴드 돌파 n=57, k=1.7 |
4.6% | -43.9% | 0.31 | 0.10 | 3.3x | 126 | 41% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=24, mult=2.2 |
2.9% | -42.6% | 0.24 | 0.07 | 2.1x | 138 | 39% |
| Parabolic SAR step=0.005, maxStep=0.1 |
2.8% | -67.2% | 0.24 | 0.04 | 2.1x | 182 | 54% |
| MACD fast=19, slow=42, signal=15 |
-2.8% | -91.3% | 0.01 | -0.03 | 0.5x | 364 | 49% |
| Buy and hold | 18.5% | -86.3% | 0.54 | 0.21 | 92.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 33-day EMA crosses above the 123-day EMA
- Sell — Sell when the 33-day EMA falls below the 123-day EMA