Trend-Following Backtester · Guide · backtest 한국어

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Betashares Australian Credit Income Active ETF Units Managed Fund backtest

10 trend-following strategies were compared on the full daily history of Betashares Australian Credit Income Active ETF Units Managed Fund. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like.

Data 2017-11-12 ~ 2026-07-31daily bars 2,204 (8.7 years)Costs 0.5%Venue ASXMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 0.1%, drawdown -16.6%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.3%, MDD -6.6%, Sharpe 0.11, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
Hold-like · Exposure 98%
n=20, threshold=-0.04
0.3%-6.6%0.110.041.0x398%
Supertrend
period=23, mult=4.9
-0.3%-8.4%-0.12-0.041.0x2065%
Keltner 채널 돌파
emaPeriod=27, atrPeriod=25, mult=2.9
-0.1%-1.7%-0.15-0.051.0x43%
SMA 크로스오버
fast=55, slow=161
-0.4%-3.8%-0.18-0.101.0x1254%
볼린저 밴드 돌파
n=57, k=2.8
-0.1%-1.5%-0.19-0.061.0x22%
ADX / DI 방향성
period=28, threshold=31
-0.1%-0.8%-0.19-0.101.0x22%
Donchian 채널 돌파
entryN=47, exitN=54
-0.5%-8.6%-0.27-0.061.0x1755%
EMA 크로스오버
fast=39, slow=148
-1.2%-10.5%-0.62-0.120.9x2056%
Parabolic SAR
step=0.005, maxStep=0.34
-3.2%-25.0%-1.33-0.130.8x6754%
MACD
fast=29, slow=39, signal=23
-3.1%-25.1%-1.45-0.120.8x6748%
Buy and hold0.1%-16.6%0.040.001.0x1100%
1x 2018 2020 2022 2024 2026 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -4% -8% -12% -17% 2018 2020 2022 2024 2026 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -6.6% (2019-07-31 → 2020-03-09), recovered after 335 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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