Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Dalrymple Bay Infrastructure Ltd. backtest
10 trend-following strategies were compared on the full daily history of Dalrymple Bay Infrastructure Ltd.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 16.5%, drawdown -18.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.6%, MDD -16.9%, Sharpe 0.92, 70% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=54, slow=253 |
16.6% | -16.9% | 0.92 | 0.98 | 2.4x | 3 | 70% |
| EMA 크로스오버 fast=20, slow=162 |
14.7% | -19.9% | 0.79 | 0.73 | 2.2x | 5 | 78% |
| ROC 모멘텀 n=154, threshold=-0.04 |
13.7% | -22.2% | 0.74 | 0.62 | 2.1x | 21 | 80% |
| ADX / DI 방향성 period=78, threshold=10 |
11.3% | -17.4% | 0.72 | 0.65 | 1.8x | 10 | 55% |
| Donchian 채널 돌파 entryN=128, exitN=71 |
11.8% | -16.9% | 0.72 | 0.69 | 1.9x | 4 | 65% |
| Supertrend period=17, mult=4.8 |
9.2% | -25.7% | 0.55 | 0.36 | 1.7x | 12 | 72% |
| Parabolic SAR step=0.01, maxStep=0.24 |
3.7% | -21.5% | 0.30 | 0.17 | 1.2x | 60 | 58% |
| MACD fast=15, slow=45, signal=14 |
0.4% | -27.9% | 0.11 | 0.02 | 1.0x | 74 | 49% |
| 볼린저 밴드 돌파 n=45, k=1.8 |
-0.3% | -24.3% | 0.06 | -0.01 | 1.0x | 40 | 46% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=23, mult=1.3 |
-0.4% | -24.3% | 0.06 | -0.02 | 1.0x | 46 | 52% |
| Buy and hold | 16.5% | -18.4% | 0.76 | 0.89 | 2.4x | 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 253-day average
- Sell — Sell (to cash) when the 54-day average falls below the 253-day average