Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Coles Group Ltd. backtest
10 trend-following strategies were compared on the full daily history of Coles Group Ltd.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 8.6%, drawdown -22.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.2%, MDD -20.9%, Sharpe 0.56, 89% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=9, exitN=71 |
9.2% | -20.9% | 0.56 | 0.44 | 2.0x | 13 | 89% |
| ROC 모멘텀 n=96, threshold=-0.04 |
7.1% | -24.3% | 0.47 | 0.29 | 1.7x | 29 | 77% |
| MACD fast=19, slow=71, signal=17 |
3.8% | -22.5% | 0.33 | 0.17 | 1.3x | 65 | 54% |
| 볼린저 밴드 돌파 n=20, k=3.5 |
0.5% | -2.4% | 0.29 | 0.21 | 1.0x | 2 | 1% |
| SMA 크로스오버 fast=34, slow=136 |
3.4% | -33.5% | 0.28 | 0.10 | 1.3x | 13 | 68% |
| Supertrend period=8, mult=2.7 |
2.6% | -28.0% | 0.24 | 0.09 | 1.2x | 59 | 56% |
| EMA 크로스오버 fast=56, slow=113 |
1.6% | -39.0% | 0.18 | 0.04 | 1.1x | 13 | 70% |
| ADX / DI 방향성 period=26, threshold=33 |
0.3% | -5.1% | 0.18 | 0.07 | 1.0x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=29, mult=3.3 |
0.2% | -5.6% | 0.09 | 0.04 | 1.0x | 6 | 3% |
| Parabolic SAR step=0.02, maxStep=0.3 |
-4.3% | -48.5% | -0.22 | -0.09 | 0.7x | 163 | 53% |
| Buy and hold | 8.6% | -22.9% | 0.50 | 0.37 | 1.9x | 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 9 days
- Sell — Sell when price breaks below the lowest low of the last 71 days