Trend-Following Backtester · Guide · backtest 한국어
equity · AU
ANZ Group Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of ANZ Group Holdings Limited. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.3%, MDD -48.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.6%, drawdown -62.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.3%, MDD -48.6%, Sharpe 0.43, 81% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 13.8%p (CAGR 7.3%, MDD -48.6%, exposure 81%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=48, exitN=171 |
7.3% | -48.6% | 0.43 | 0.15 | 15.2x | 41 | 81% |
| SMA 크로스오버 fast=45, slow=148 |
5.9% | -46.6% | 0.40 | 0.13 | 9.0x | 68 | 60% |
| ADX / DI 방향성 period=28, threshold=34 |
3.0% | -27.6% | 0.33 | 0.11 | 3.1x | 36 | 16% |
| EMA 크로스오버 fast=59, slow=143 |
4.0% | -43.6% | 0.30 | 0.09 | 4.5x | 63 | 65% |
| 볼린저 밴드 돌파 n=11, k=3.1 |
2.5% | -35.1% | 0.29 | 0.07 | 2.5x | 56 | 17% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=8, mult=2.2 |
1.6% | -61.4% | 0.18 | 0.03 | 1.8x | 191 | 44% |
| ROC 모멘텀 n=83, threshold=-0.03 |
1.2% | -72.5% | 0.16 | 0.02 | 1.6x | 339 | 69% |
| Supertrend period=10, mult=4.9 |
1.0% | -61.6% | 0.14 | 0.02 | 1.5x | 167 | 52% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-1.3% | -92.3% | 0.02 | -0.01 | 0.6x | 267 | 55% |
| MACD fast=21, slow=52, signal=26 |
-3.8% | -86.9% | -0.13 | -0.04 | 0.2x | 345 | 52% |
| Buy and hold | 6.6% | -62.3% | 0.37 | 0.11 | 11.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 48 days
- Sell — Sell when price breaks below the lowest low of the last 171 days