Trend-Following Backtester · Guide · backtest 한국어
etf · NZ
Smart Australian Top 200 ETF backtest
10 trend-following strategies were compared on the full daily history of Smart Australian Top 200 ETF. 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 -16.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.4%, MDD -3.5%, Sharpe 0.67, 7% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 7.8%, MDD -12.4%, exposure 95%.
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=39, threshold=23 |
2.4% | -3.5% | 0.67 | 0.69 | 1.2x | 4 | 7% |
| ROC 모멘텀 n=46, threshold=-0.08 |
7.8% | -12.4% | 0.58 | 0.63 | 1.6x | 5 | 95% |
| Donchian 채널 돌파 entryN=13, exitN=92 |
5.1% | -19.7% | 0.42 | 0.26 | 1.4x | 9 | 92% |
| SMA 크로스오버 fast=55, slow=85 |
2.3% | -18.2% | 0.25 | 0.13 | 1.2x | 25 | 67% |
| 볼린저 밴드 돌파 n=53, k=3.5 |
0.4% | -4.4% | 0.15 | 0.09 | 1.0x | 2 | 5% |
| EMA 크로스오버 fast=54, slow=157 |
-0.0% | -35.0% | 0.06 | -0.00 | 1.0x | 13 | 74% |
| Supertrend period=15, mult=5 |
-1.5% | -30.0% | -0.06 | -0.05 | 0.9x | 21 | 67% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-1.5% | -18.8% | -0.07 | -0.08 | 0.9x | 84 | 59% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=8, mult=3.6 |
-1.5% | -16.2% | -0.20 | -0.09 | 0.9x | 14 | 21% |
| MACD fast=18, slow=31, signal=14 |
-6.7% | -35.4% | -0.62 | -0.19 | 0.7x | 94 | 48% |
| Buy and hold | 8.8% | -16.4% | 0.61 | 0.54 | 1.7x | 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, 39-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)