Trend-Following Backtester · Guide · backtest 한국어
equity · AU
National Australia Bank Limited backtest
10 trend-following strategies were compared on the full daily history of National Australia Bank Limited. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.3%, drawdown -67.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.2%, MDD -25.7%, Sharpe 0.39, 20% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.5%, MDD -40.4%, exposure 59%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=29, threshold=28 |
3.2% | -25.7% | 0.39 | 0.12 | 3.3x | 52 | 20% |
| SMA 크로스오버 fast=81, slow=272 |
4.5% | -40.4% | 0.36 | 0.11 | 5.4x | 42 | 59% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=20, mult=4 |
2.6% | -25.7% | 0.35 | 0.10 | 2.7x | 68 | 17% |
| 볼린저 밴드 돌파 n=19, k=3.4 |
2.4% | -23.9% | 0.32 | 0.10 | 2.5x | 72 | 17% |
| EMA 크로스오버 fast=83, slow=231 |
3.4% | -46.2% | 0.29 | 0.07 | 3.6x | 36 | 63% |
| ROC 모멘텀 n=151, threshold=0.01 |
2.5% | -52.5% | 0.24 | 0.05 | 2.6x | 234 | 55% |
| Donchian 채널 돌파 entryN=14, exitN=54 |
2.3% | -78.7% | 0.21 | 0.03 | 2.4x | 187 | 80% |
| Supertrend period=13, mult=4.3 |
0.7% | -64.7% | 0.12 | 0.01 | 1.3x | 203 | 55% |
| Parabolic SAR step=0.005, maxStep=0.32 |
0.5% | -74.2% | 0.11 | 0.01 | 1.2x | 273 | 56% |
| MACD fast=17, slow=35, signal=20 |
-4.3% | -89.3% | -0.21 | -0.05 | 0.2x | 457 | 51% |
| Buy and hold | 6.3% | -67.5% | 0.38 | 0.09 | 10.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 29-day) is ≥ 28
- Sell — Sell when direction flips or the trend weakens (ADX < 28)