Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Steadfast Group Limited backtest
10 trend-following strategies were compared on the full daily history of Steadfast Group Limited. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 96% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.6%, drawdown -42.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.5%, MDD -48.9%, Sharpe 0.47, 96% 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 96% n=12, threshold=-0.09 |
9.5% | -48.9% | 0.47 | 0.19 | 3.3x | 53 | 96% |
| Donchian 채널 돌파 entryN=37, exitN=86 |
4.2% | -47.9% | 0.29 | 0.09 | 1.7x | 21 | 80% |
| SMA 크로스오버 fast=44, slow=198 |
1.8% | -39.8% | 0.19 | 0.04 | 1.3x | 21 | 65% |
| Supertrend period=27, mult=4.8 |
1.2% | -34.1% | 0.16 | 0.04 | 1.2x | 35 | 64% |
| EMA 크로스오버 fast=50, slow=165 |
0.4% | -39.5% | 0.12 | 0.01 | 1.1x | 25 | 68% |
| 볼린저 밴드 돌파 n=58, k=3.2 |
-0.5% | -35.5% | -0.02 | -0.01 | 0.9x | 13 | 12% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=16, mult=4 |
-0.4% | -23.2% | -0.02 | -0.02 | 0.9x | 15 | 12% |
| ADX / DI 방향성 period=30, threshold=24 |
-0.4% | -19.1% | -0.03 | -0.02 | 0.9x | 9 | 7% |
| MACD fast=18, slow=28, signal=15 |
-4.4% | -53.9% | -0.17 | -0.08 | 0.6x | 172 | 47% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-5.4% | -57.7% | -0.22 | -0.09 | 0.5x | 113 | 55% |
| Buy and hold | 10.6% | -42.2% | 0.49 | 0.25 | 3.7x | 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 12-day return is greater than -9%
- Sell — Sell when the 12-day return drops to -9% or below