Trend-Following Backtester · Guide · backtest 한국어
etf · AU
BetaShares Australian High Interest Cash ETF Units backtest
10 trend-following strategies were compared on the full daily history of BetaShares Australian High Interest Cash ETF Units. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR -0.0%, drawdown -0.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.0%, MDD 0.0%, Sharpe 0.00, 0% exposure.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=148, threshold=0.08 |
0.0% | 0.0% | 0.00 | 0.00 | 1.0x | 0 | 0% |
| ADX / DI 방향성 period=36, threshold=18 |
-0.1% | -1.2% | -0.37 | -0.07 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=17, k=3.4 |
-0.1% | -1.0% | -0.37 | -0.07 | 1.0x | 2 | 0% |
| EMA 크로스오버 fast=151, slow=356 |
-0.3% | -4.2% | -0.40 | -0.07 | 1.0x | 8 | 34% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=24, mult=2.7 |
-0.2% | -2.4% | -0.59 | -0.07 | 1.0x | 4 | 0% |
| Donchian 채널 돌파 entryN=149, exitN=64 |
-1.4% | -17.8% | -1.37 | -0.08 | 0.8x | 32 | 23% |
| SMA 크로스오버 fast=64, slow=263 |
-2.2% | -27.7% | -1.85 | -0.08 | 0.7x | 64 | 29% |
| Supertrend period=8, mult=5 |
-3.7% | -42.0% | -2.69 | -0.09 | 0.6x | 85 | 4% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-7.9% | -69.4% | -4.09 | -0.11 | 0.3x | 197 | 33% |
| MACD fast=9, slow=37, signal=10 |
-12.9% | -86.2% | -5.54 | -0.15 | 0.1x | 359 | 52% |
| Buy and hold | -0.0% | -0.5% | 0.00 | -0.00 | 1.0x | 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 148-day return is greater than 8%
- Sell — Sell when the 148-day return drops to 8% or below