Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Metcash Limited backtest
10 trend-following strategies were compared on the full daily history of Metcash Limited. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.7%, MDD -19.6%).
Results by strategy
6 of 10 beat buy and hold (CAGR 2.7%, drawdown -83.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.4%, MDD -45.4%, Sharpe 0.44, 43% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.7%p higher than buy and hold, while drawdown improves by 38.0%p (CAGR 3.7%, MDD -19.6%, exposure 8%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=93, exitN=65 |
7.4% | -45.4% | 0.44 | 0.16 | 10.1x | 42 | 43% |
| SMA 크로스오버 fast=58, slow=169 |
6.5% | -68.2% | 0.39 | 0.10 | 7.6x | 44 | 52% |
| EMA 크로스오버 fast=58, slow=117 |
5.6% | -50.3% | 0.36 | 0.11 | 5.8x | 46 | 50% |
| ADX / DI 방향성 period=16, threshold=48 |
3.7% | -19.6% | 0.34 | 0.19 | 3.2x | 24 | 8% |
| 볼린저 밴드 돌파 n=43, k=3.5 |
3.1% | -32.4% | 0.29 | 0.09 | 2.7x | 38 | 12% |
| Supertrend period=12, mult=4.9 |
3.1% | -70.9% | 0.25 | 0.04 | 2.7x | 87 | 52% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=21, mult=2.9 |
2.7% | -55.8% | 0.23 | 0.05 | 2.4x | 96 | 24% |
| ROC 모멘텀 n=115, threshold=0.11 |
2.0% | -61.4% | 0.20 | 0.03 | 1.9x | 230 | 31% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-1.5% | -87.1% | 0.05 | -0.02 | 0.6x | 214 | 52% |
| MACD fast=22, slow=55, signal=34 |
-2.0% | -90.6% | 0.05 | -0.02 | 0.5x | 236 | 52% |
| Buy and hold | 2.7% | -83.4% | 0.25 | 0.03 | 2.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 93 days
- Sell — Sell when price breaks below the lowest low of the last 65 days