Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Netwealth Group Ltd. backtest
10 trend-following strategies were compared on the full daily history of Netwealth Group Ltd.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 16.4%, MDD -32.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 17.2%, drawdown -47.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.7%, MDD -24.4%, Sharpe 0.84, 18% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 16.4%, MDD -32.6%, exposure 51%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.5%p lower than buy and hold, while drawdown improves by 22.9%p (CAGR 16.4%, MDD -32.6%, exposure 51%).
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=113, exitN=9 |
11.7% | -24.4% | 0.84 | 0.48 | 2.6x | 22 | 18% |
| SMA 크로스오버 fast=65, slow=87 |
16.4% | -32.6% | 0.70 | 0.50 | 3.8x | 30 | 51% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=23, mult=3.6 |
7.4% | -29.8% | 0.58 | 0.25 | 1.9x | 14 | 17% |
| 볼린저 밴드 돌파 n=56, k=2.8 |
6.6% | -24.1% | 0.56 | 0.27 | 1.8x | 8 | 11% |
| EMA 크로스오버 fast=55, slow=277 |
9.3% | -34.6% | 0.45 | 0.27 | 2.2x | 10 | 59% |
| Supertrend period=14, mult=2.5 |
7.4% | -59.9% | 0.40 | 0.12 | 1.9x | 74 | 56% |
| ROC 모멘텀 n=53, threshold=0.14 |
5.7% | -43.5% | 0.39 | 0.13 | 1.6x | 106 | 24% |
| ADX / DI 방향성 period=24, threshold=20 |
2.1% | -29.4% | 0.21 | 0.07 | 1.2x | 38 | 17% |
| Parabolic SAR step=0.01, maxStep=0.08 |
-2.9% | -78.5% | 0.03 | -0.04 | 0.8x | 120 | 54% |
| MACD fast=11, slow=32, signal=12 |
-4.8% | -65.6% | -0.05 | -0.07 | 0.6x | 148 | 48% |
| Buy and hold | 17.2% | -47.3% | 0.59 | 0.36 | 4.0x | 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 113 days
- Sell — Sell when price breaks below the lowest low of the last 9 days