Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Bendigo & Adelaide Bank Ltd. backtest
10 trend-following strategies were compared on the full daily history of Bendigo & Adelaide Bank Ltd.. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.2%, MDD -53.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.0%, drawdown -69.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.4%, MDD -16.2%, Sharpe 0.36, 12% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 4.2%, MDD -53.9%, exposure 74%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 53.1%p (CAGR 4.2%, MDD -53.9%, exposure 74%).
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=30, threshold=33 |
2.4% | -16.2% | 0.36 | 0.15 | 2.2x | 30 | 12% |
| Donchian 채널 돌파 entryN=13, exitN=39 |
4.2% | -53.9% | 0.29 | 0.08 | 4.0x | 171 | 74% |
| MACD fast=24, slow=40, signal=24 |
2.0% | -51.5% | 0.20 | 0.04 | 1.9x | 269 | 49% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=16, mult=2.9 |
1.5% | -27.6% | 0.19 | 0.05 | 1.6x | 114 | 21% |
| SMA 크로스오버 fast=35, slow=59 |
1.6% | -70.9% | 0.18 | 0.02 | 1.7x | 147 | 55% |
| 볼린저 밴드 돌파 n=24, k=3.5 |
0.7% | -35.4% | 0.13 | 0.02 | 1.3x | 60 | 12% |
| Supertrend period=24, mult=3.8 |
0.7% | -72.6% | 0.13 | 0.01 | 1.3x | 171 | 51% |
| Parabolic SAR step=0.005, maxStep=0.24 |
0.2% | -69.9% | 0.10 | 0.00 | 1.1x | 237 | 52% |
| EMA 크로스오버 fast=30, slow=76 |
-0.3% | -76.2% | 0.07 | -0.00 | 0.9x | 109 | 56% |
| ROC 모멘텀 n=145, threshold=0.01 |
-0.5% | -71.3% | 0.05 | -0.01 | 0.8x | 249 | 54% |
| Buy and hold | 4.0% | -69.3% | 0.28 | 0.06 | 3.7x | 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, 30-day) is ≥ 33
- Sell — Sell when direction flips or the trend weakens (ADX < 33)