Trend-Following Backtester · Guide · backtest 한국어
etf · AU
Betashares Australian Equities Strong Bear Complex ETF backtest
10 trend-following strategies were compared on the full daily history of Betashares Australian Equities Strong Bear Complex ETF. 5 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 1.2%, MDD -8.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR -1.7%, drawdown -99.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 2.3%, MDD -27.7%, Sharpe 0.24, 1% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 71.4%p (CAGR 1.2%, MDD -8.4%, exposure 0%).
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=5, atrPeriod=18, mult=3.1 |
2.3% | -27.7% | 0.24 | 0.08 | 1.3x | 6 | 1% |
| ROC 모멘텀 n=5, threshold=0.25 |
1.2% | -8.4% | 0.23 | 0.15 | 1.2x | 10 | 0% |
| ADX / DI 방향성 period=8, threshold=46 |
-0.5% | -43.8% | 0.03 | -0.01 | 0.9x | 20 | 3% |
| 볼린저 밴드 돌파 n=26, k=3.5 |
-0.6% | -44.4% | 0.03 | -0.01 | 0.9x | 10 | 3% |
| Donchian 채널 돌파 entryN=125, exitN=2 |
-1.0% | -39.5% | -0.01 | -0.03 | 0.9x | 24 | 2% |
| Supertrend period=27, mult=4.6 |
-10.1% | -73.2% | -0.33 | -0.14 | 0.3x | 52 | 30% |
| EMA 크로스오버 fast=7, slow=182 |
-9.2% | -75.2% | -0.35 | -0.12 | 0.3x | 26 | 20% |
| SMA 크로스오버 fast=42, slow=67 |
-11.5% | -82.0% | -0.44 | -0.14 | 0.3x | 52 | 32% |
| Parabolic SAR step=0.01, maxStep=0.3 |
-16.5% | -87.3% | -0.59 | -0.19 | 0.1x | 150 | 41% |
| MACD fast=15, slow=51, signal=7 |
-20.4% | -93.9% | -0.73 | -0.22 | 0.1x | 202 | 49% |
| Buy and hold | -1.7% | -99.1% | 0.29 | -0.02 | 0.8x | 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 5-day average + 3.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 5-day average