Trend-Following Backtester · Guide · backtest 한국어
etf · AU
BetaShares Geared Australian Equity Fund backtest
10 trend-following strategies were compared on the full daily history of BetaShares Geared Australian Equity Fund. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.1%, drawdown -66.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.5%, MDD -40.8%, Sharpe 0.23, 83% 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=19, exitN=73 |
2.5% | -40.8% | 0.23 | 0.06 | 1.4x | 31 | 83% |
| 볼린저 밴드 돌파 n=58, k=2.9 |
1.2% | -14.1% | 0.18 | 0.08 | 1.2x | 12 | 12% |
| SMA 크로스오버 fast=30, slow=77 |
0.1% | -39.7% | 0.11 | 0.00 | 1.0x | 55 | 59% |
| ROC 모멘텀 n=62, threshold=-0.04 |
-1.7% | -48.3% | 0.04 | -0.03 | 0.8x | 139 | 72% |
| ADX / DI 방향성 period=31, threshold=22 |
0.0% | -5.8% | 0.02 | 0.00 | 1.0x | 4 | 1% |
| Supertrend period=26, mult=4.6 |
-1.8% | -46.6% | 0.02 | -0.04 | 0.8x | 65 | 60% |
| EMA 크로스오버 fast=34, slow=68 |
-1.8% | -45.7% | 0.01 | -0.04 | 0.8x | 45 | 61% |
| Parabolic SAR step=0.005, maxStep=0.42 |
-6.3% | -59.2% | -0.20 | -0.11 | 0.5x | 119 | 58% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=20, mult=4 |
-2.9% | -36.4% | -0.23 | -0.08 | 0.7x | 34 | 21% |
| MACD fast=6, slow=15, signal=19 |
-9.6% | -78.8% | -0.36 | -0.12 | 0.3x | 309 | 49% |
| Buy and hold | 5.1% | -66.5% | 0.32 | 0.08 | 1.8x | 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 19 days
- Sell — Sell when price breaks below the lowest low of the last 73 days