Trend-Following Backtester · Guide · backtest 한국어
etf · AU
BetaShares Australia 200 ETF backtest
10 trend-following strategies were compared on the full daily history of BetaShares Australia 200 ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 3.9%, MDD -20.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.9%, drawdown -35.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.8%, MDD -17.8%, Sharpe 0.55, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 17.8%p (CAGR 3.9%, MDD -20.3%, exposure 89%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 98% n=12, threshold=-0.09 |
6.8% | -17.8% | 0.55 | 0.38 | 1.7x | 7 | 98% |
| Donchian 채널 돌파 entryN=13, exitN=90 |
3.9% | -20.3% | 0.37 | 0.19 | 1.4x | 19 | 89% |
| Supertrend period=36, mult=4.2 |
1.5% | -23.5% | 0.19 | 0.06 | 1.1x | 45 | 68% |
| EMA 크로스오버 fast=37, slow=204 |
0.6% | -23.6% | 0.11 | 0.02 | 1.0x | 13 | 72% |
| 볼린저 밴드 돌파 n=54, k=2.7 |
0.3% | -12.0% | 0.08 | 0.03 | 1.0x | 14 | 21% |
| SMA 크로스오버 fast=11, slow=126 |
0.2% | -25.3% | 0.07 | 0.01 | 1.0x | 31 | 63% |
| Keltner 채널 돌파 emaPeriod=62, atrPeriod=26, mult=4 |
-0.1% | -15.5% | 0.01 | -0.01 | 1.0x | 20 | 31% |
| ADX / DI 방향성 period=25, threshold=28 |
-0.1% | -2.5% | -0.17 | -0.06 | 1.0x | 2 | 0% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-2.4% | -24.4% | -0.20 | -0.10 | 0.8x | 77 | 59% |
| MACD fast=17, slow=23, signal=19 |
-6.0% | -40.8% | -0.62 | -0.15 | 0.6x | 117 | 49% |
| Buy and hold | 4.9% | -35.5% | 0.39 | 0.14 | 1.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 12-day return is greater than -9%
- Sell — Sell when the 12-day return drops to -9% or below