Trend-Following Backtester · Guide · backtest 한국어
equity · AU
REA Group Ltd backtest
10 trend-following strategies were compared on the full daily history of REA Group Ltd. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 29.6%, MDD -43.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 24.2%, drawdown -96.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 29.6%, MDD -43.8%, Sharpe 0.91, 71% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 52.4%p (CAGR 29.6%, MDD -43.8%, exposure 71%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=53, slow=111 |
29.6% | -43.8% | 0.91 | 0.67 | 999.8x | 26 | 71% |
| SMA 크로스오버 fast=10, slow=204 |
27.8% | -47.7% | 0.87 | 0.58 | 686.6x | 44 | 71% |
| Donchian 채널 돌파 entryN=63, exitN=83 |
24.2% | -57.4% | 0.78 | 0.42 | 325.6x | 30 | 72% |
| ROC 모멘텀 n=133, threshold=-0.03 |
20.2% | -59.3% | 0.69 | 0.34 | 134.1x | 150 | 72% |
| Supertrend period=17, mult=4.7 |
12.4% | -77.1% | 0.51 | 0.16 | 22.7x | 103 | 63% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=13, mult=3.2 |
7.5% | -34.4% | 0.45 | 0.22 | 6.9x | 84 | 19% |
| Parabolic SAR step=0.005, maxStep=0.22 |
10.1% | -79.0% | 0.45 | 0.13 | 13.2x | 207 | 55% |
| 볼린저 밴드 돌파 n=56, k=1.7 |
8.8% | -55.7% | 0.43 | 0.16 | 9.5x | 132 | 43% |
| MACD fast=15, slow=53, signal=19 |
6.2% | -94.6% | 0.35 | 0.07 | 4.9x | 285 | 51% |
| ADX / DI 방향성 period=18, threshold=14 |
4.0% | -77.9% | 0.28 | 0.05 | 2.8x | 397 | 49% |
| Buy and hold | 24.2% | -96.2% | 0.61 | 0.25 | 325.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 53-day EMA crosses above the 111-day EMA
- Sell — Sell when the 53-day EMA falls below the 111-day EMA