Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Commonwealth Bank of Australia backtest
10 trend-following strategies were compared on the full daily history of Commonwealth Bank of Australia. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.4%, MDD -31.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.8%, drawdown -61.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.4%, MDD -31.5%, Sharpe 0.54, 64% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.4%p lower than buy and hold, while drawdown improves by 29.4%p (CAGR 7.4%, MDD -31.5%, exposure 64%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=115, exitN=124 |
7.4% | -31.5% | 0.54 | 0.23 | 11.9x | 31 | 64% |
| ADX / DI 방향성 period=31, threshold=29 |
3.7% | -14.5% | 0.49 | 0.25 | 3.5x | 26 | 15% |
| SMA 크로스오버 fast=39, slow=205 |
5.5% | -39.6% | 0.42 | 0.14 | 6.5x | 47 | 64% |
| EMA 크로스오버 fast=56, slow=108 |
5.3% | -52.6% | 0.41 | 0.10 | 6.1x | 59 | 66% |
| ROC 모멘텀 n=170, threshold=-0.02 |
5.0% | -42.4% | 0.39 | 0.12 | 5.4x | 181 | 71% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=24, mult=2.6 |
3.5% | -38.2% | 0.33 | 0.09 | 3.4x | 137 | 48% |
| Supertrend period=23, mult=4.4 |
2.4% | -52.1% | 0.23 | 0.05 | 2.2x | 171 | 58% |
| Parabolic SAR step=0.005, maxStep=0.26 |
1.9% | -63.9% | 0.20 | 0.03 | 1.9x | 275 | 57% |
| 볼린저 밴드 돌파 n=46, k=3.3 |
1.1% | -28.7% | 0.18 | 0.04 | 1.4x | 34 | 11% |
| MACD fast=22, slow=40, signal=24 |
-1.2% | -65.8% | -0.02 | -0.02 | 0.7x | 349 | 52% |
| Buy and hold | 9.8% | -61.0% | 0.54 | 0.16 | 26.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 115 days
- Sell — Sell when price breaks below the lowest low of the last 124 days