Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Aurizon Holdings Ltd. backtest
10 trend-following strategies were compared on the full daily history of Aurizon Holdings Ltd.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 2.9%, drawdown -52.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.7%, MDD -3.8%, Sharpe 0.32, 2% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 2.6%, MDD -44.7%, exposure 60%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=20, threshold=37 |
0.7% | -3.8% | 0.32 | 0.19 | 1.1x | 4 | 2% |
| EMA 크로스오버 fast=39, slow=50 |
2.5% | -41.8% | 0.24 | 0.06 | 1.5x | 41 | 55% |
| Donchian 채널 돌파 entryN=50, exitN=73 |
2.6% | -44.7% | 0.24 | 0.06 | 1.5x | 29 | 60% |
| SMA 크로스오버 fast=28, slow=94 |
1.9% | -37.9% | 0.20 | 0.05 | 1.3x | 41 | 53% |
| Supertrend period=26, mult=3.6 |
-0.9% | -56.9% | 0.03 | -0.01 | 0.9x | 74 | 59% |
| 볼린저 밴드 돌파 n=52, k=3.3 |
-0.2% | -20.6% | -0.00 | -0.01 | 1.0x | 12 | 6% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=15, mult=3.5 |
-0.2% | -16.2% | -0.00 | -0.01 | 1.0x | 16 | 7% |
| ROC 모멘텀 n=101, threshold=0 |
-1.8% | -56.4% | -0.05 | -0.03 | 0.8x | 121 | 51% |
| MACD fast=22, slow=47, signal=24 |
-6.4% | -68.4% | -0.35 | -0.09 | 0.4x | 156 | 51% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-11.5% | -86.8% | -0.68 | -0.13 | 0.1x | 280 | 52% |
| Buy and hold | 2.9% | -52.2% | 0.24 | 0.06 | 1.6x | 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, 20-day) is ≥ 37
- Sell — Sell when direction flips or the trend weakens (ADX < 37)