Trend-Following Backtester · Guide · backtest 한국어

equity · AU

Vicinity Centres backtest

10 trend-following strategies were compared on the full daily history of Vicinity Centres. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.3%, MDD -44.9%).

Data 2011-12-04 ~ 2026-07-31daily bars 3,709 (14.7 years)Costs 0.5%Venue ASXMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 3.0%, drawdown -73.0%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.3%, MDD -44.9%, Sharpe 0.30, 93% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 28.1%p (CAGR 4.3%, MDD -44.9%, exposure 93%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=3, exitN=91
4.3%-44.9%0.300.101.8x4793%
SMA 크로스오버
fast=37, slow=175
1.2%-38.6%0.150.031.2x2958%
EMA 크로스오버
fast=52, slow=240
1.1%-41.7%0.150.031.2x1956%
볼린저 밴드 돌파
n=22, k=3.4
0.4%-11.9%0.130.031.1x63%
ROC 모멘텀
n=8, threshold=0.1
0.3%-14.3%0.070.021.0x241%
ADX / DI 방향성
period=35, threshold=21
0.2%-16.4%0.060.011.0x206%
Supertrend
period=11, mult=4
-1.2%-61.8%0.01-0.020.8x5561%
Keltner 채널 돌파
emaPeriod=13, atrPeriod=24, mult=3.9
-0.0%-5.3%0.01-0.001.0x21%
MACD
fast=16, slow=25, signal=17
-6.4%-68.0%-0.29-0.090.4x22150%
Parabolic SAR
step=0.015, maxStep=0.34
-7.8%-74.2%-0.37-0.110.3x25954%
Buy and hold3.0%-73.0%0.240.041.5x1100%
1x 2012 2014 2016 2018 2020 2022 2024 2026 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -18% -37% -55% -73% 2012 2014 2016 2018 2020 2022 2024 2026 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -44.9% (2016-07-20 → 2020-04-02), recovered after 3,318 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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