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 14.1%, MDD -21.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 6.8%, drawdown -45.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.1%, MDD -21.4%, Sharpe 0.82, 61% exposure.
CAGR reference leader: Supertrend — CAGR 14.2%, MDD -24.0%, exposure 61%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 7.3%p higher than buy and hold, while drawdown improves by 23.6%p (CAGR 14.1%, MDD -21.4%, exposure 61%).
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 |
14.1% | -21.4% | 0.82 | 0.66 | 2.3x | 23 | 61% |
| Supertrend period=14, mult=2.9 |
14.2% | -24.0% | 0.78 | 0.59 | 2.3x | 52 | 61% |
| Donchian 채널 돌파 entryN=39, exitN=65 |
11.9% | -29.7% | 0.68 | 0.40 | 2.1x | 13 | 70% |
| EMA 크로스오버 fast=26, slow=30 |
9.6% | -40.2% | 0.59 | 0.24 | 1.8x | 24 | 66% |
| ROC 모멘텀 n=52, threshold=-0.01 |
8.1% | -41.5% | 0.52 | 0.20 | 1.6x | 79 | 65% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=11, mult=1.2 |
5.6% | -24.9% | 0.41 | 0.22 | 1.4x | 46 | 55% |
| Parabolic SAR step=0.025, maxStep=0.22 |
5.1% | -40.4% | 0.36 | 0.13 | 1.4x | 147 | 54% |
| 볼린저 밴드 돌파 n=56, k=1.1 |
2.2% | -32.3% | 0.22 | 0.07 | 1.2x | 42 | 52% |
| 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 |
-2.1% | -37.3% | -0.05 | -0.06 | 0.9x | 66 | 46% |
| Buy and hold | 6.8% | -45.0% | 0.37 | 0.15 | 1.5x | 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