Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Woodside Energy Group Ltd backtest
10 trend-following strategies were compared on the full daily history of Woodside Energy Group Ltd. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.8%, drawdown -77.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.7%, MDD -26.1%, Sharpe 0.48, 20% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 5.9%, MDD -66.9%, exposure 59%.
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=60, threshold=25 |
4.7% | -26.1% | 0.48 | 0.18 | 5.9x | 18 | 20% |
| SMA 크로스오버 fast=29, slow=256 |
5.9% | -66.9% | 0.38 | 0.09 | 9.2x | 51 | 59% |
| Donchian 채널 돌파 entryN=64, exitN=59 |
5.7% | -46.7% | 0.38 | 0.12 | 8.3x | 86 | 56% |
| EMA 크로스오버 fast=6, slow=101 |
5.8% | -69.6% | 0.38 | 0.08 | 8.7x | 171 | 58% |
| 볼린저 밴드 돌파 n=11, k=2.7 |
3.3% | -29.4% | 0.36 | 0.11 | 3.4x | 90 | 19% |
| ROC 모멘텀 n=158, threshold=-0.06 |
5.7% | -74.4% | 0.36 | 0.08 | 8.4x | 213 | 72% |
| Supertrend period=14, mult=5 |
3.1% | -73.4% | 0.25 | 0.04 | 3.2x | 155 | 53% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=19, mult=1.5 |
2.0% | -78.2% | 0.20 | 0.03 | 2.1x | 249 | 47% |
| Parabolic SAR step=0.01, maxStep=0.34 |
0.9% | -87.5% | 0.14 | 0.01 | 1.4x | 403 | 53% |
| MACD fast=13, slow=29, signal=15 |
-3.7% | -92.1% | -0.11 | -0.04 | 0.2x | 549 | 48% |
| Buy and hold | 8.8% | -77.7% | 0.44 | 0.11 | 25.8x | 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, 60-day) is ≥ 25
- Sell — Sell when direction flips or the trend weakens (ADX < 25)