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 4.1%, MDD -20.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.1%, drawdown -35.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.9%, MDD -17.8%, Sharpe 0.56, 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 4.1%, 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 |
6.9% | -17.8% | 0.56 | 0.39 | 1.7x | 7 | 98% |
| Donchian 채널 돌파 entryN=13, exitN=90 |
4.1% | -20.3% | 0.38 | 0.20 | 1.4x | 19 | 89% |
| Supertrend period=36, mult=4.2 |
1.7% | -23.5% | 0.21 | 0.07 | 1.1x | 45 | 68% |
| EMA 크로스오버 fast=37, slow=204 |
0.8% | -23.6% | 0.12 | 0.03 | 1.1x | 13 | 72% |
| SMA 크로스오버 fast=11, slow=126 |
0.4% | -25.3% | 0.09 | 0.02 | 1.0x | 31 | 64% |
| 볼린저 밴드 돌파 n=54, k=2.7 |
0.2% | -13.2% | 0.06 | 0.01 | 1.0x | 15 | 22% |
| Keltner 채널 돌파 emaPeriod=62, atrPeriod=26, mult=4 |
-0.4% | -17.4% | -0.03 | -0.02 | 1.0x | 21 | 32% |
| ADX / DI 방향성 period=25, threshold=28 |
-0.1% | -2.5% | -0.16 | -0.06 | 1.0x | 2 | 0% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-2.2% | -24.4% | -0.18 | -0.09 | 0.8x | 77 | 59% |
| MACD fast=17, slow=23, signal=19 |
-5.9% | -40.8% | -0.60 | -0.14 | 0.6x | 118 | 49% |
| Buy and hold | 5.1% | -35.5% | 0.40 | 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