Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Cleanaway Waste Management Ltd. backtest
10 trend-following strategies were compared on the full daily history of Cleanaway Waste Management Ltd.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.6%, MDD -53.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 2.1%, drawdown -95.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.6%, MDD -53.8%, Sharpe 0.35, 53% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 41.6%p (CAGR 5.6%, MDD -53.8%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=54, slow=229 |
5.6% | -53.8% | 0.35 | 0.10 | 3.2x | 22 | 53% |
| EMA 크로스오버 fast=59, slow=148 |
4.4% | -57.7% | 0.30 | 0.08 | 2.5x | 26 | 53% |
| Supertrend period=6, mult=4.8 |
3.2% | -72.5% | 0.25 | 0.04 | 1.9x | 62 | 53% |
| Donchian 채널 돌파 entryN=45, exitN=31 |
2.6% | -59.9% | 0.23 | 0.04 | 1.7x | 62 | 42% |
| ROC 모멘텀 n=138, threshold=-0.02 |
1.8% | -71.7% | 0.20 | 0.03 | 1.5x | 198 | 57% |
| ADX / DI 방향성 period=29, threshold=34 |
0.8% | -23.0% | 0.18 | 0.03 | 1.2x | 4 | 2% |
| 볼린저 밴드 돌파 n=35, k=3.4 |
0.9% | -40.6% | 0.13 | 0.02 | 1.2x | 28 | 10% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=9, mult=4 |
0.5% | -48.1% | 0.11 | 0.01 | 1.1x | 26 | 9% |
| MACD fast=5, slow=58, signal=18 |
-3.2% | -83.8% | 0.01 | -0.04 | 0.5x | 379 | 49% |
| Parabolic SAR step=0.025, maxStep=0.34 |
-7.3% | -93.6% | -0.14 | -0.08 | 0.2x | 467 | 48% |
| Buy and hold | 2.1% | -95.4% | 0.25 | 0.02 | 1.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 54-day average price crosses above the 229-day average
- Sell — Sell (to cash) when the 54-day average falls below the 229-day average