Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Pro Medicus, Ltd. backtest
10 trend-following strategies were compared on the full daily history of Pro Medicus, Ltd.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 21.1%, MDD -58.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 21.5%, drawdown -90.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 21.9%, MDD -73.1%, Sharpe 0.73, 59% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 17.3%p (CAGR 21.1%, MDD -58.9%, exposure 57%).
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=45, slow=213 |
21.9% | -73.1% | 0.73 | 0.30 | 168.2x | 33 | 59% |
| EMA 크로스오버 fast=59, slow=143 |
21.1% | -58.9% | 0.73 | 0.36 | 142.4x | 27 | 57% |
| Donchian 채널 돌파 entryN=128, exitN=79 |
18.6% | -61.2% | 0.70 | 0.30 | 83.5x | 30 | 49% |
| ROC 모멘텀 n=134, threshold=0.11 |
11.8% | -78.2% | 0.51 | 0.15 | 17.9x | 201 | 47% |
| 볼린저 밴드 돌파 n=52, k=1.5 |
7.8% | -82.6% | 0.40 | 0.09 | 6.9x | 138 | 40% |
| Supertrend period=14, mult=5 |
8.1% | -92.8% | 0.40 | 0.09 | 7.5x | 127 | 54% |
| ADX / DI 방향성 period=9, threshold=32 |
6.7% | -69.7% | 0.38 | 0.10 | 5.3x | 296 | 25% |
| Parabolic SAR step=0.025, maxStep=0.22 |
6.8% | -94.0% | 0.36 | 0.07 | 5.5x | 504 | 52% |
| MACD fast=22, slow=57, signal=29 |
4.4% | -92.5% | 0.30 | 0.05 | 3.1x | 206 | 50% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=9, mult=2.4 |
3.6% | -93.3% | 0.27 | 0.04 | 2.5x | 166 | 39% |
| Buy and hold | 21.5% | -90.3% | 0.63 | 0.24 | 155.4x | 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 45-day average price crosses above the 213-day average
- Sell — Sell (to cash) when the 45-day average falls below the 213-day average