Trend-Following Backtester · Guide · backtest 한국어
equity · AU
AGL Energy Limited backtest
10 trend-following strategies were compared on the full daily history of AGL Energy Limited. 5 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.9%, MDD -9.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR -0.1%, drawdown -82.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.9%, MDD -9.2%, Sharpe 0.29, 2% exposure.
CAGR reference leader: Supertrend — CAGR 1.4%, MDD -58.0%, exposure 51%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 72.8%p (CAGR 0.9%, MDD -9.2%, exposure 2%).
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=19, threshold=39 |
0.9% | -9.2% | 0.29 | 0.10 | 1.3x | 8 | 2% |
| Supertrend period=21, mult=5 |
1.4% | -58.0% | 0.17 | 0.02 | 1.5x | 72 | 51% |
| SMA 크로스오버 fast=41, slow=64 |
0.4% | -57.7% | 0.11 | 0.01 | 1.1x | 114 | 53% |
| Donchian 채널 돌파 entryN=118, exitN=45 |
0.3% | -57.2% | 0.10 | 0.01 | 1.1x | 42 | 39% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=22, mult=4 |
0.2% | -37.9% | 0.07 | 0.01 | 1.1x | 42 | 12% |
| EMA 크로스오버 fast=51, slow=94 |
-0.4% | -66.7% | 0.07 | -0.01 | 0.9x | 48 | 56% |
| ROC 모멘텀 n=128, threshold=-0.04 |
-2.1% | -75.8% | -0.03 | -0.03 | 0.6x | 170 | 64% |
| 볼린저 밴드 돌파 n=53, k=1.5 |
-2.0% | -75.1% | -0.06 | -0.03 | 0.6x | 152 | 38% |
| MACD fast=50, slow=64, signal=32 |
-3.2% | -82.9% | -0.10 | -0.04 | 0.4x | 164 | 52% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-4.2% | -76.6% | -0.16 | -0.05 | 0.3x | 218 | 53% |
| Buy and hold | -0.1% | -82.1% | 0.12 | -0.00 | 1.0x | 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, 19-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)