Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Xero Limited backtest
10 trend-following strategies were compared on the full daily history of Xero Limited. 7 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 24.2%, MDD -26.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 23.5%, drawdown -71.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 33.2%, MDD -39.0%, Sharpe 1.12, 61% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 33.6%, MDD -49.6%, exposure 69%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 9.7%p higher than buy and hold, while drawdown improves by 32.1%p (CAGR 24.2%, MDD -26.5%, exposure 36%).
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=23, slow=43 |
33.2% | -39.0% | 1.12 | 0.85 | 52.5x | 41 | 61% |
| Donchian 채널 돌파 entryN=22, exitN=46 |
33.6% | -49.6% | 1.09 | 0.68 | 54.7x | 33 | 69% |
| Supertrend period=27, mult=5 |
30.0% | -58.2% | 1.07 | 0.52 | 37.5x | 39 | 58% |
| SMA 크로스오버 fast=28, slow=60 |
30.7% | -36.9% | 1.05 | 0.83 | 40.4x | 49 | 60% |
| 볼린저 밴드 돌파 n=56, k=2.3 |
24.2% | -26.5% | 1.02 | 0.91 | 19.8x | 39 | 36% |
| ROC 모멘텀 n=46, threshold=-0.03 |
29.0% | -57.0% | 0.99 | 0.51 | 33.5x | 119 | 65% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=16, mult=3.1 |
23.4% | -28.9% | 0.98 | 0.81 | 18.2x | 47 | 39% |
| Parabolic SAR step=0.005, maxStep=0.34 |
24.4% | -42.9% | 0.91 | 0.57 | 20.5x | 109 | 56% |
| ADX / DI 방향성 period=33, threshold=13 |
21.1% | -34.1% | 0.90 | 0.62 | 14.1x | 83 | 40% |
| MACD fast=19, slow=57, signal=20 |
12.9% | -60.7% | 0.57 | 0.21 | 5.3x | 127 | 51% |
| Buy and hold | 23.5% | -71.1% | 0.73 | 0.33 | 18.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 23-day EMA crosses above the 43-day EMA
- Sell — Sell when the 23-day EMA falls below the 43-day EMA