Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Westpac Banking Corporation backtest
10 trend-following strategies were compared on the full daily history of Westpac Banking Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.2%, drawdown -64.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.6%, MDD -41.7%, Sharpe 0.30, 59% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=24, slow=288 |
3.6% | -41.7% | 0.30 | 0.09 | 3.9x | 52 | 59% |
| EMA 크로스오버 fast=27, slow=265 |
3.4% | -47.1% | 0.29 | 0.07 | 3.7x | 60 | 61% |
| Donchian 채널 돌파 entryN=67, exitN=77 |
3.0% | -55.0% | 0.26 | 0.06 | 3.2x | 70 | 60% |
| ROC 모멘텀 n=147, threshold=0.05 |
1.3% | -54.4% | 0.16 | 0.02 | 1.6x | 270 | 47% |
| ADX / DI 방향성 period=20, threshold=34 |
0.6% | -39.0% | 0.10 | 0.01 | 1.2x | 84 | 18% |
| 볼린저 밴드 돌파 n=51, k=1.6 |
0.1% | -58.6% | 0.07 | 0.00 | 1.0x | 203 | 40% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-0.5% | -83.2% | 0.06 | -0.01 | 0.8x | 273 | 57% |
| Supertrend period=11, mult=4.6 |
-0.5% | -65.5% | 0.05 | -0.01 | 0.8x | 185 | 56% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=11, mult=4 |
-0.1% | -43.4% | 0.04 | -0.00 | 1.0x | 92 | 18% |
| MACD fast=16, slow=28, signal=19 |
-5.1% | -88.8% | -0.25 | -0.06 | 0.1x | 513 | 51% |
| Buy and hold | 6.2% | -64.4% | 0.37 | 0.10 | 10.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 24-day average price crosses above the 288-day average
- Sell — Sell (to cash) when the 24-day average falls below the 288-day average