Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Monadelphous Group Limited backtest
10 trend-following strategies were compared on the full daily history of Monadelphous Group Limited. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.2%, MDD -58.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 17.2%, drawdown -80.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.2%, MDD -58.5%, Sharpe 0.62, 60% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 16.9%, MDD -68.8%, exposure 84%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.0%p lower than buy and hold, while drawdown improves by 22.3%p (CAGR 13.2%, MDD -58.5%, exposure 60%).
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=36, slow=193 |
13.2% | -58.5% | 0.62 | 0.23 | 120.4x | 57 | 60% |
| EMA 크로스오버 fast=31, slow=108 |
12.4% | -63.9% | 0.58 | 0.19 | 92.1x | 77 | 61% |
| ROC 모멘텀 n=145, threshold=0.06 |
11.3% | -67.4% | 0.56 | 0.17 | 62.5x | 216 | 54% |
| Donchian 채널 돌파 entryN=11, exitN=55 |
16.9% | -68.8% | 0.50 | 0.25 | 410.0x | 153 | 84% |
| Supertrend period=10, mult=4 |
10.1% | -69.8% | 0.50 | 0.15 | 41.6x | 196 | 58% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=21, mult=2.2 |
7.5% | -64.5% | 0.44 | 0.12 | 16.5x | 216 | 40% |
| ADX / DI 방향성 period=21, threshold=17 |
7.1% | -69.2% | 0.42 | 0.10 | 14.3x | 262 | 44% |
| 볼린저 밴드 돌파 n=38, k=0.8 |
7.0% | -74.8% | 0.39 | 0.09 | 13.8x | 318 | 52% |
| MACD fast=18, slow=42, signal=17 |
10.9% | -70.4% | 0.38 | 0.15 | 53.5x | 390 | 50% |
| Parabolic SAR step=0.015, maxStep=0.26 |
5.1% | -73.5% | 0.32 | 0.07 | 6.8x | 470 | 55% |
| Buy and hold | 17.2% | -80.8% | 0.50 | 0.21 | 459.0x | 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 36-day average price crosses above the 193-day average
- Sell — Sell (to cash) when the 36-day average falls below the 193-day average