Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Cochlear Limited backtest
10 trend-following strategies were compared on the full daily history of Cochlear Limited. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 13.2%, MDD -47.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 12.9%, drawdown -74.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 13.2%, MDD -47.6%, Sharpe 0.68, 67% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 13.3%, MDD -52.3%, exposure 67%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 26.7%p (CAGR 13.2%, MDD -47.6%, exposure 67%).
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=138 |
13.2% | -47.6% | 0.68 | 0.28 | 44.7x | 70 | 67% |
| Donchian 채널 돌파 entryN=92, exitN=73 |
12.3% | -49.8% | 0.68 | 0.25 | 34.8x | 38 | 59% |
| SMA 크로스오버 fast=12, slow=162 |
13.3% | -52.3% | 0.67 | 0.25 | 46.1x | 70 | 67% |
| ADX / DI 방향성 period=63, threshold=26 |
6.5% | -13.8% | 0.66 | 0.47 | 6.8x | 8 | 14% |
| ROC 모멘텀 n=115, threshold=-0.01 |
11.2% | -57.7% | 0.58 | 0.19 | 25.9x | 202 | 69% |
| Keltner 채널 돌파 emaPeriod=99, atrPeriod=23, mult=4 |
7.0% | -47.0% | 0.48 | 0.15 | 7.9x | 72 | 44% |
| Supertrend period=18, mult=4.6 |
7.4% | -55.7% | 0.43 | 0.13 | 8.8x | 121 | 62% |
| 볼린저 밴드 돌파 n=14, k=3.5 |
1.3% | -16.4% | 0.24 | 0.08 | 1.5x | 24 | 6% |
| MACD fast=15, slow=56, signal=17 |
0.3% | -60.2% | 0.12 | 0.00 | 1.1x | 341 | 51% |
| Parabolic SAR step=0.015, maxStep=0.2 |
-0.5% | -86.0% | 0.08 | -0.01 | 0.8x | 505 | 59% |
| Buy and hold | 12.9% | -74.3% | 0.55 | 0.17 | 41.2x | 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 138-day EMA
- Sell — Sell when the 16-day EMA falls below the 138-day EMA