Trend-Following Backtester · Guide · backtest 한국어
etf · AU
BetaShares Australian Bank Senior Floating Rate Bond ETF backtest
10 trend-following strategies were compared on the full daily history of BetaShares Australian Bank Senior Floating Rate Bond ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 0.4%, drawdown -4.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.3%, MDD -3.9%, Sharpe 0.17, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=9, threshold=-0.02 |
0.3% | -3.9% | 0.17 | 0.07 | 1.0x | 3 | 99% |
| Donchian 채널 돌파 entryN=47, exitN=120 |
-0.3% | -4.0% | -0.18 | -0.07 | 1.0x | 11 | 78% |
| SMA 크로스오버 fast=21, slow=210 |
-0.4% | -5.3% | -0.30 | -0.08 | 1.0x | 11 | 58% |
| Supertrend period=28, mult=5 |
-0.6% | -9.1% | -0.33 | -0.07 | 0.9x | 21 | 72% |
| 볼린저 밴드 돌파 n=37, k=2.8 |
-0.1% | -1.0% | -0.36 | -0.10 | 1.0x | 2 | 1% |
| ADX / DI 방향성 period=28, threshold=47 |
-0.1% | -0.9% | -0.43 | -0.11 | 1.0x | 2 | 0% |
| EMA 크로스오버 fast=40, slow=110 |
-0.6% | -7.2% | -0.46 | -0.09 | 0.9x | 15 | 64% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=13, mult=3.8 |
-0.3% | -2.8% | -0.70 | -0.11 | 1.0x | 6 | 4% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-3.7% | -29.3% | -2.04 | -0.13 | 0.7x | 73 | 52% |
| MACD fast=27, slow=49, signal=29 |
-5.1% | -38.3% | -2.70 | -0.13 | 0.6x | 91 | 50% |
| Buy and hold | 0.4% | -4.6% | 0.21 | 0.08 | 1.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 9-day return is greater than -2%
- Sell — Sell when the 9-day return drops to -2% or below