Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Medibank Private Ltd. backtest
10 trend-following strategies were compared on the full daily history of Medibank Private Ltd.. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.6%, MDD -9.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.1%, drawdown -32.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.6%, MDD -9.8%, Sharpe 0.67, 13% exposure.
CAGR reference leader: MACD — CAGR 9.0%, MDD -21.5%, exposure 50%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 22.6%p (CAGR 5.6%, MDD -9.8%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=38, k=3.4 |
5.6% | -9.8% | 0.67 | 0.57 | 1.9x | 10 | 13% |
| MACD fast=29, slow=73, signal=28 |
9.0% | -21.5% | 0.64 | 0.42 | 2.8x | 62 | 50% |
| SMA 크로스오버 fast=37, slow=53 |
8.0% | -22.4% | 0.56 | 0.36 | 2.5x | 55 | 56% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=16, mult=2.3 |
6.1% | -15.5% | 0.54 | 0.39 | 2.0x | 40 | 33% |
| ADX / DI 방향성 period=19, threshold=27 |
3.5% | -17.2% | 0.43 | 0.20 | 1.5x | 38 | 16% |
| Supertrend period=18, mult=4.5 |
5.6% | -25.9% | 0.43 | 0.22 | 1.9x | 30 | 58% |
| Donchian 채널 돌파 entryN=50, exitN=16 |
4.7% | -22.5% | 0.42 | 0.21 | 1.7x | 44 | 37% |
| EMA 크로스오버 fast=30, slow=33 |
2.2% | -28.2% | 0.22 | 0.08 | 1.3x | 54 | 55% |
| Parabolic SAR step=0.005, maxStep=0.22 |
2.1% | -39.0% | 0.21 | 0.05 | 1.3x | 94 | 55% |
| ROC 모멘텀 n=58, threshold=0.03 |
-1.0% | -33.6% | -0.00 | -0.03 | 0.9x | 128 | 44% |
| Buy and hold | 7.1% | -32.4% | 0.41 | 0.22 | 2.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 38-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 38-day middle average