Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Challenger Limited backtest
10 trend-following strategies were compared on the full daily history of Challenger Limited. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 7.8%, MDD -64.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 7.2%, drawdown -92.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.0%, MDD -77.7%, Sharpe 0.48, 56% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 14.9%p (CAGR 7.8%, MDD -64.5%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=16, slow=56 |
10.0% | -77.7% | 0.48 | 0.13 | 13.8x | 107 | 56% |
| 볼린저 밴드 돌파 n=49, k=2.5 |
6.8% | -63.5% | 0.42 | 0.11 | 6.1x | 82 | 27% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=22, mult=1.8 |
7.4% | -74.1% | 0.41 | 0.10 | 7.1x | 144 | 43% |
| Supertrend period=8, mult=3.4 |
7.8% | -74.5% | 0.40 | 0.10 | 7.9x | 150 | 57% |
| Parabolic SAR step=0.005, maxStep=0.22 |
7.8% | -64.5% | 0.40 | 0.12 | 8.0x | 204 | 53% |
| SMA 크로스오버 fast=16, slow=62 |
7.2% | -77.8% | 0.39 | 0.09 | 6.8x | 119 | 55% |
| Donchian 채널 돌파 entryN=39, exitN=38 |
6.9% | -83.0% | 0.37 | 0.08 | 6.2x | 83 | 58% |
| MACD fast=25, slow=40, signal=23 |
5.9% | -68.3% | 0.34 | 0.09 | 4.9x | 254 | 51% |
| ROC 모멘텀 n=195, threshold=-0.01 |
4.7% | -80.2% | 0.30 | 0.06 | 3.5x | 171 | 58% |
| ADX / DI 방향성 period=33, threshold=14 |
3.3% | -79.1% | 0.26 | 0.04 | 2.4x | 174 | 32% |
| Buy and hold | 7.2% | -92.6% | 0.37 | 0.08 | 6.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 16-day EMA crosses above the 56-day EMA
- Sell — Sell when the 16-day EMA falls below the 56-day EMA