Trend-Following Backtester · Guide · backtest 한국어
etf · AU
BETASHARES S&P/ASX AUSTRALIAN TECHNOLOGY ETF backtest
10 trend-following strategies were compared on the full daily history of BETASHARES S&P/ASX AUSTRALIAN TECHNOLOGY ETF. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 15.1%, MDD -21.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 7.8%, drawdown -45.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.1%, MDD -21.4%, Sharpe 0.87, 62% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 23.6%p (CAGR 15.1%, MDD -21.4%, exposure 62%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=47, slow=63 |
15.1% | -21.4% | 0.87 | 0.70 | 2.5x | 23 | 62% |
| Supertrend period=14, mult=2.9 |
14.4% | -24.0% | 0.79 | 0.60 | 2.4x | 53 | 62% |
| Donchian 채널 돌파 entryN=39, exitN=65 |
12.9% | -29.7% | 0.73 | 0.43 | 2.2x | 13 | 71% |
| EMA 크로스오버 fast=26, slow=30 |
9.3% | -40.2% | 0.58 | 0.23 | 1.8x | 25 | 66% |
| ROC 모멘텀 n=52, threshold=-0.01 |
9.1% | -41.5% | 0.57 | 0.22 | 1.8x | 79 | 65% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=11, mult=1.2 |
5.8% | -24.9% | 0.43 | 0.23 | 1.4x | 47 | 55% |
| Parabolic SAR step=0.025, maxStep=0.22 |
6.4% | -40.4% | 0.42 | 0.16 | 1.5x | 148 | 55% |
| 볼린저 밴드 돌파 n=56, k=1.1 |
2.5% | -32.3% | 0.24 | 0.08 | 1.2x | 43 | 53% |
| ADX / DI 방향성 period=36, threshold=14 |
1.2% | -21.1% | 0.16 | 0.06 | 1.1x | 28 | 27% |
| MACD fast=20, slow=55, signal=17 |
-2.2% | -37.3% | -0.05 | -0.06 | 0.9x | 67 | 46% |
| Buy and hold | 7.8% | -45.0% | 0.41 | 0.17 | 1.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 47-day average price crosses above the 63-day average
- Sell — Sell (to cash) when the 47-day average falls below the 63-day average