Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Computershare Limited backtest
10 trend-following strategies were compared on the full daily history of Computershare 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 21.5%, MDD -42.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 19.3%, drawdown -85.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 21.5%, MDD -42.4%, Sharpe 0.85, 66% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 43.2%p (CAGR 21.5%, MDD -42.4%, exposure 66%).
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=67, slow=143 |
21.5% | -42.4% | 0.85 | 0.51 | 530.7x | 27 | 66% |
| SMA 크로스오버 fast=13, slow=218 |
20.1% | -52.0% | 0.81 | 0.39 | 366.0x | 59 | 64% |
| Donchian 채널 돌파 entryN=102, exitN=74 |
15.7% | -41.4% | 0.71 | 0.38 | 108.0x | 43 | 56% |
| ROC 모멘텀 n=147, threshold=0 |
15.7% | -64.7% | 0.67 | 0.24 | 107.9x | 171 | 65% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=10, mult=3.9 |
11.1% | -28.5% | 0.65 | 0.39 | 29.2x | 49 | 18% |
| Supertrend period=23, mult=4.7 |
13.6% | -50.4% | 0.62 | 0.27 | 60.1x | 103 | 59% |
| ADX / DI 방향성 period=41, threshold=19 |
10.8% | -29.6% | 0.62 | 0.36 | 27.0x | 61 | 23% |
| 볼린저 밴드 돌파 n=31, k=3 |
8.1% | -34.9% | 0.52 | 0.23 | 12.2x | 73 | 20% |
| Parabolic SAR step=0.005, maxStep=0.32 |
10.4% | -56.8% | 0.51 | 0.18 | 24.4x | 227 | 61% |
| MACD fast=17, slow=32, signal=19 |
2.5% | -80.3% | 0.22 | 0.03 | 2.2x | 372 | 49% |
| Buy and hold | 19.3% | -85.6% | 0.68 | 0.23 | 291.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 67-day EMA crosses above the 143-day EMA
- Sell — Sell when the 67-day EMA falls below the 143-day EMA