Trend-Following Backtester · Guide · backtest 한국어
equity · AU
CSL Limited backtest
10 trend-following strategies were compared on the full daily history of CSL Limited. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 20.7%, MDD -37.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 18.0%, drawdown -77.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 20.7%, MDD -37.9%, Sharpe 0.91, 74% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 39.7%p (CAGR 20.7%, MDD -37.9%, exposure 74%).
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=55, slow=237 |
20.7% | -37.9% | 0.91 | 0.55 | 433.5x | 22 | 74% |
| SMA 크로스오버 fast=61, slow=306 |
19.5% | -42.0% | 0.86 | 0.46 | 312.2x | 20 | 74% |
| ROC 모멘텀 n=144, threshold=-0.1 |
19.9% | -56.9% | 0.85 | 0.35 | 345.3x | 81 | 84% |
| Donchian 채널 돌파 entryN=83, exitN=74 |
16.0% | -51.5% | 0.80 | 0.31 | 118.7x | 45 | 64% |
| 볼린저 밴드 돌파 n=59, k=2.8 |
10.1% | -32.5% | 0.73 | 0.31 | 22.4x | 55 | 30% |
| Supertrend period=25, mult=4.8 |
13.9% | -60.3% | 0.72 | 0.23 | 66.7x | 113 | 60% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=28, mult=4 |
10.6% | -49.1% | 0.68 | 0.22 | 25.5x | 83 | 41% |
| ADX / DI 방향성 period=34, threshold=51 |
4.2% | -11.8% | 0.59 | 0.36 | 3.8x | 6 | 9% |
| Parabolic SAR step=0.015, maxStep=0.16 |
3.9% | -73.4% | 0.28 | 0.05 | 3.4x | 505 | 58% |
| MACD fast=24, slow=32, signal=29 |
0.2% | -79.7% | 0.10 | 0.00 | 1.1x | 327 | 52% |
| Buy and hold | 18.0% | -77.7% | 0.71 | 0.23 | 206.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 55-day EMA crosses above the 237-day EMA
- Sell — Sell when the 55-day EMA falls below the 237-day EMA