Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Breville Group Limited backtest
10 trend-following strategies were compared on the full daily history of Breville Group Limited. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.0%, MDD -41.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.0%, drawdown -85.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.0%, MDD -41.7%, Sharpe 0.55, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.0%p lower than buy and hold, while drawdown improves by 43.9%p (CAGR 12.0%, MDD -41.7%, exposure 59%).
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=9, slow=200 |
12.0% | -41.7% | 0.55 | 0.29 | 22.4x | 69 | 59% |
| Supertrend period=10, mult=3.5 |
11.7% | -51.5% | 0.53 | 0.23 | 20.8x | 151 | 55% |
| EMA 크로스오버 fast=54, slow=212 |
11.1% | -57.6% | 0.51 | 0.19 | 18.1x | 33 | 61% |
| ROC 모멘텀 n=145, threshold=-0.03 |
11.2% | -62.8% | 0.50 | 0.18 | 18.2x | 217 | 64% |
| Parabolic SAR step=0.01, maxStep=0.04 |
10.3% | -59.2% | 0.48 | 0.17 | 14.6x | 241 | 55% |
| Donchian 채널 돌파 entryN=23, exitN=21 |
9.8% | -54.0% | 0.47 | 0.18 | 13.0x | 144 | 56% |
| 볼린저 밴드 돌파 n=54, k=3 |
6.6% | -50.8% | 0.44 | 0.13 | 5.7x | 52 | 20% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=24, mult=3.3 |
7.3% | -45.7% | 0.42 | 0.16 | 7.0x | 88 | 32% |
| MACD fast=24, slow=57, signal=27 |
8.5% | -68.0% | 0.42 | 0.13 | 9.4x | 209 | 52% |
| ADX / DI 방향성 period=27, threshold=26 |
5.0% | -38.6% | 0.39 | 0.13 | 3.8x | 46 | 11% |
| Buy and hold | 14.0% | -85.5% | 0.52 | 0.16 | 36.7x | 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 9-day average price crosses above the 200-day average
- Sell — Sell (to cash) when the 9-day average falls below the 200-day average