Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Origin Energy Limited backtest
10 trend-following strategies were compared on the full daily history of Origin Energy 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 7.8%, MDD -46.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.7%, drawdown -77.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.8%, MDD -46.7%, Sharpe 0.44, 65% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 7.8%, MDD -48.7%, exposure 69%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 30.4%p (CAGR 7.8%, MDD -46.7%, exposure 65%).
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=270 |
7.8% | -46.7% | 0.44 | 0.17 | 7.8x | 32 | 65% |
| ROC 모멘텀 n=257, threshold=-0.03 |
7.8% | -48.7% | 0.43 | 0.16 | 7.9x | 112 | 69% |
| EMA 크로스오버 fast=18, slow=205 |
5.9% | -49.4% | 0.37 | 0.12 | 4.9x | 53 | 64% |
| Donchian 채널 돌파 entryN=66, exitN=85 |
5.2% | -46.7% | 0.33 | 0.11 | 4.1x | 41 | 68% |
| MACD fast=27, slow=51, signal=36 |
2.2% | -70.3% | 0.20 | 0.03 | 1.8x | 195 | 49% |
| ADX / DI 방향성 period=33, threshold=35 |
0.3% | -3.8% | 0.15 | 0.08 | 1.1x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=11, mult=3.5 |
0.4% | -15.9% | 0.13 | 0.02 | 1.1x | 8 | 1% |
| 볼린저 밴드 돌파 n=18, k=3.3 |
0.3% | -16.8% | 0.09 | 0.02 | 1.1x | 20 | 3% |
| Supertrend period=24, mult=2.6 |
-0.5% | -67.8% | 0.08 | -0.01 | 0.9x | 257 | 54% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-4.0% | -75.1% | -0.08 | -0.05 | 0.3x | 241 | 54% |
| Buy and hold | 8.7% | -77.0% | 0.42 | 0.11 | 10.0x | 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 270-day average
- Sell — Sell (to cash) when the 36-day average falls below the 270-day average