Trend-Following Backtester · Guide · backtest 한국어
equity · AU
ASX Limited backtest
10 trend-following strategies were compared on the full daily history of ASX Limited. 1 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 8.2%, MDD -43.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.3%, drawdown -61.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 5.8%, MDD -24.7%, Sharpe 0.54, 24% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 9.3%, MDD -61.2%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: Parabolic SAR — CAGR is 3.5%p lower than buy and hold, while drawdown improves by 36.4%p (CAGR 8.2%, MDD -43.9%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=21, mult=4 |
5.8% | -24.7% | 0.54 | 0.23 | 4.7x | 54 | 24% |
| ADX / DI 방향성 period=19, threshold=39 |
2.5% | -14.6% | 0.46 | 0.17 | 2.0x | 16 | 4% |
| Donchian 채널 돌파 entryN=44, exitN=31 |
5.6% | -41.9% | 0.44 | 0.13 | 4.6x | 82 | 48% |
| Parabolic SAR step=0.01, maxStep=0.02 |
8.2% | -43.9% | 0.43 | 0.19 | 9.0x | 147 | 57% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.12 |
9.3% | -61.2% | 0.43 | 0.15 | 11.9x | 5 | 100% |
| 볼린저 밴드 돌파 n=39, k=3.2 |
2.9% | -29.4% | 0.39 | 0.10 | 2.2x | 32 | 11% |
| Supertrend period=11, mult=4.2 |
6.8% | -54.3% | 0.38 | 0.13 | 6.2x | 115 | 56% |
| SMA 크로스오버 fast=23, slow=167 |
1.7% | -58.0% | 0.18 | 0.03 | 1.6x | 71 | 57% |
| EMA 크로스오버 fast=58, slow=161 |
1.1% | -53.7% | 0.15 | 0.02 | 1.4x | 54 | 63% |
| MACD fast=12, slow=29, signal=18 |
1.0% | -70.0% | 0.14 | 0.01 | 1.3x | 379 | 50% |
| Buy and hold | 9.3% | -61.2% | 0.43 | 0.15 | 11.7x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 54-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 54-day average