Trend-Following Backtester · Guide · backtest 한국어
equity · AU
HUB24 Limited backtest
10 trend-following strategies were compared on the full daily history of HUB24 Limited. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 25.1%, MDD -53.7%).
Results by strategy
6 of 10 beat buy and hold (CAGR 11.4%, drawdown -96.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 25.1%, MDD -53.7%, Sharpe 0.76, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 13.6%p higher than buy and hold, while drawdown improves by 43.1%p (CAGR 25.1%, MDD -53.7%, exposure 56%).
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=52, slow=87 |
25.1% | -53.7% | 0.76 | 0.47 | 72.8x | 50 | 56% |
| EMA 크로스오버 fast=56, slow=141 |
23.1% | -57.2% | 0.76 | 0.40 | 53.3x | 20 | 59% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=8, mult=3.5 |
18.8% | -54.2% | 0.74 | 0.35 | 27.1x | 52 | 24% |
| 볼린저 밴드 돌파 n=54, k=1.8 |
19.3% | -60.8% | 0.69 | 0.32 | 29.6x | 72 | 36% |
| Donchian 채널 돌파 entryN=58, exitN=60 |
18.9% | -61.7% | 0.63 | 0.31 | 27.6x | 37 | 57% |
| ADX / DI 방향성 period=19, threshold=36 |
7.9% | -22.6% | 0.57 | 0.35 | 4.3x | 34 | 10% |
| ROC 모멘텀 n=111, threshold=-0.03 |
16.2% | -66.3% | 0.57 | 0.24 | 17.8x | 148 | 61% |
| Supertrend period=17, mult=5 |
10.0% | -77.3% | 0.44 | 0.13 | 6.2x | 77 | 57% |
| Parabolic SAR step=0.005, maxStep=0.08 |
7.8% | -82.3% | 0.39 | 0.10 | 4.2x | 148 | 51% |
| MACD fast=17, slow=52, signal=15 |
0.2% | -94.8% | 0.23 | 0.00 | 1.0x | 238 | 52% |
| Buy and hold | 11.4% | -96.8% | 0.49 | 0.12 | 8.0x | 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 52-day average price crosses above the 87-day average
- Sell — Sell (to cash) when the 52-day average falls below the 87-day average