Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Insurance Australia Group Ltd backtest
10 trend-following strategies were compared on the full daily history of Insurance Australia Group Ltd. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.4%, MDD -34.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.3%, drawdown -59.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.4%, MDD -34.9%, Sharpe 0.46, 56% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 24.9%p (CAGR 6.4%, MDD -34.9%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=44, slow=171 |
6.4% | -34.9% | 0.46 | 0.18 | 5.0x | 31 | 56% |
| Donchian 채널 돌파 entryN=85, exitN=60 |
5.0% | -41.7% | 0.40 | 0.12 | 3.6x | 33 | 48% |
| SMA 크로스오버 fast=38, slow=200 |
5.0% | -41.6% | 0.38 | 0.12 | 3.6x | 35 | 56% |
| ADX / DI 방향성 period=38, threshold=27 |
0.9% | -11.3% | 0.26 | 0.08 | 1.3x | 8 | 4% |
| ROC 모멘텀 n=119, threshold=-0.04 |
1.2% | -53.3% | 0.16 | 0.02 | 1.4x | 217 | 66% |
| Supertrend period=21, mult=5 |
0.3% | -61.3% | 0.10 | 0.01 | 1.1x | 67 | 52% |
| 볼린저 밴드 돌파 n=56, k=2.6 |
0.5% | -43.1% | 0.10 | 0.01 | 1.1x | 66 | 26% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=19, mult=4 |
-0.1% | -23.8% | 0.02 | -0.00 | 1.0x | 30 | 8% |
| MACD fast=24, slow=49, signal=19 |
-6.2% | -85.6% | -0.29 | -0.07 | 0.2x | 283 | 51% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-9.6% | -94.2% | -0.50 | -0.10 | 0.1x | 457 | 52% |
| Buy and hold | 4.3% | -59.9% | 0.29 | 0.07 | 3.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 44-day EMA crosses above the 171-day EMA
- Sell — Sell when the 44-day EMA falls below the 171-day EMA