Trend-Following Backtester · Guide · backtest 한국어
etf · AU
iShares S&P 500 AUD Hedged ETF backtest
10 trend-following strategies were compared on the full daily history of iShares S&P 500 AUD Hedged ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.4%, MDD -27.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.4%, drawdown -36.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.4%, MDD -27.9%, Sharpe 0.52, 69% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.0%p lower than buy and hold, while drawdown improves by 8.2%p (CAGR 6.4%, MDD -27.9%, exposure 69%).
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=20, slow=251 |
6.4% | -27.9% | 0.52 | 0.23 | 2.1x | 15 | 69% |
| Donchian 채널 돌파 entryN=20, exitN=59 |
6.0% | -34.3% | 0.50 | 0.17 | 2.0x | 30 | 82% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=23, mult=3.9 |
0.5% | -2.2% | 0.43 | 0.21 | 1.1x | 2 | 1% |
| EMA 크로스오버 fast=13, slow=194 |
4.5% | -28.4% | 0.40 | 0.16 | 1.7x | 21 | 71% |
| Parabolic SAR step=0.005, maxStep=0.16 |
2.9% | -28.5% | 0.31 | 0.10 | 1.4x | 94 | 61% |
| ADX / DI 방향성 period=25, threshold=30 |
0.6% | -5.3% | 0.30 | 0.10 | 1.1x | 6 | 3% |
| ROC 모멘텀 n=32, threshold=-0.04 |
3.1% | -40.6% | 0.29 | 0.08 | 1.4x | 90 | 86% |
| Supertrend period=26, mult=5 |
0.4% | -34.2% | 0.09 | 0.01 | 1.0x | 74 | 70% |
| MACD fast=19, slow=64, signal=15 |
0.2% | -33.0% | 0.07 | 0.01 | 1.0x | 134 | 54% |
| 볼린저 밴드 돌파 n=33, k=1.9 |
-0.0% | -24.6% | 0.03 | -0.00 | 1.0x | 78 | 41% |
| Buy and hold | 8.4% | -36.1% | 0.51 | 0.23 | 2.6x | 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 20-day average price crosses above the 251-day average
- Sell — Sell (to cash) when the 20-day average falls below the 251-day average