Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Seek Limited backtest
10 trend-following strategies were compared on the full daily history of Seek Limited. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 11.3%, MDD -34.3%).
Results by strategy
4 of 10 beat buy and hold (CAGR 9.5%, drawdown -77.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.3%, MDD -34.3%, Sharpe 0.61, 50% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 43.1%p (CAGR 11.3%, MDD -34.3%, exposure 50%).
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 n=147, threshold=0.07 |
11.3% | -34.3% | 0.61 | 0.33 | 9.8x | 128 | 50% |
| SMA 크로스오버 fast=55, slow=138 |
10.6% | -47.6% | 0.55 | 0.22 | 8.5x | 38 | 60% |
| Donchian 채널 돌파 entryN=66, exitN=97 |
10.8% | -55.8% | 0.53 | 0.19 | 8.9x | 26 | 68% |
| EMA 크로스오버 fast=23, slow=159 |
10.0% | -48.0% | 0.53 | 0.21 | 7.7x | 36 | 62% |
| Supertrend period=28, mult=4.5 |
8.6% | -52.8% | 0.48 | 0.16 | 5.8x | 75 | 54% |
| 볼린저 밴드 돌파 n=54, k=2.8 |
3.8% | -30.5% | 0.33 | 0.12 | 2.2x | 44 | 20% |
| Parabolic SAR step=0.01, maxStep=0.04 |
4.6% | -55.0% | 0.31 | 0.08 | 2.6x | 201 | 54% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=22, mult=2.4 |
4.2% | -54.2% | 0.31 | 0.08 | 2.4x | 94 | 39% |
| MACD fast=15, slow=35, signal=17 |
3.9% | -58.9% | 0.28 | 0.07 | 2.2x | 255 | 50% |
| ADX / DI 방향성 period=26, threshold=33 |
0.5% | -16.8% | 0.14 | 0.03 | 1.1x | 8 | 2% |
| Buy and hold | 9.5% | -77.5% | 0.44 | 0.12 | 7.0x | 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 147-day return is greater than 7%
- Sell — Sell when the 147-day return drops to 7% or below