Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Charter Hall Group backtest
10 trend-following strategies were compared on the full daily history of Charter Hall Group. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 14.1%, MDD -35.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR 10.4%, drawdown -94.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 23.1%, MDD -41.1%, Sharpe 0.88, 73% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 12.6%p higher than buy and hold, while drawdown improves by 53.7%p (CAGR 14.1%, MDD -35.6%, exposure 45%).
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=20, exitN=43 |
23.1% | -41.1% | 0.88 | 0.56 | 80.4x | 57 | 73% |
| Supertrend period=21, mult=4.9 |
19.8% | -36.8% | 0.84 | 0.54 | 45.7x | 53 | 58% |
| ADX / DI 방향성 period=33, threshold=12 |
16.9% | -45.9% | 0.79 | 0.37 | 27.4x | 171 | 49% |
| SMA 크로스오버 fast=6, slow=137 |
17.4% | -36.3% | 0.78 | 0.48 | 29.9x | 71 | 62% |
| EMA 크로스오버 fast=43, slow=49 |
17.5% | -45.9% | 0.77 | 0.38 | 30.5x | 53 | 64% |
| Parabolic SAR step=0.02, maxStep=0.02 |
16.2% | -54.2% | 0.73 | 0.30 | 23.9x | 107 | 61% |
| 볼린저 밴드 돌파 n=33, k=1.8 |
14.1% | -35.6% | 0.72 | 0.40 | 16.3x | 137 | 45% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=29, mult=2 |
12.3% | -50.7% | 0.65 | 0.24 | 11.6x | 99 | 45% |
| ROC 모멘텀 n=98, threshold=0.01 |
12.9% | -46.1% | 0.63 | 0.28 | 13.1x | 171 | 61% |
| MACD fast=22, slow=39, signal=23 |
5.1% | -71.8% | 0.32 | 0.07 | 2.9x | 196 | 53% |
| Buy and hold | 10.4% | -94.8% | 0.45 | 0.11 | 8.1x | 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 20 days
- Sell — Sell when price breaks below the lowest low of the last 43 days