Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Stockland backtest
10 trend-following strategies were compared on the full daily history of Stockland. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 1.8%, MDD -41.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 2.0%, drawdown -79.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 2.7%, MDD -68.8%, Sharpe 0.23, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 10.7%p (CAGR 1.8%, MDD -41.2%, exposure 77%).
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=1, threshold=-0.05 |
2.7% | -68.8% | 0.23 | 0.04 | 2.8x | 121 | 99% |
| Donchian 채널 돌파 entryN=20, exitN=64 |
1.8% | -41.2% | 0.19 | 0.04 | 2.0x | 135 | 77% |
| EMA 크로스오버 fast=43, slow=104 |
0.9% | -49.4% | 0.14 | 0.02 | 1.4x | 88 | 61% |
| SMA 크로스오버 fast=53, slow=100 |
0.8% | -56.3% | 0.13 | 0.01 | 1.4x | 98 | 60% |
| Supertrend period=8, mult=5 |
0.2% | -62.4% | 0.09 | 0.00 | 1.1x | 133 | 57% |
| 볼린저 밴드 돌파 n=16, k=3.4 |
-0.0% | -29.4% | 0.03 | -0.00 | 1.0x | 64 | 16% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=24, mult=3.8 |
-0.1% | -31.0% | 0.01 | -0.00 | 1.0x | 66 | 16% |
| ADX / DI 방향성 period=39, threshold=29 |
-0.4% | -34.1% | -0.05 | -0.01 | 0.8x | 52 | 16% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-5.3% | -89.5% | -0.24 | -0.06 | 0.1x | 265 | 55% |
| MACD fast=16, slow=24, signal=15 |
-5.6% | -92.9% | -0.26 | -0.06 | 0.1x | 553 | 49% |
| Buy and hold | 2.0% | -79.5% | 0.20 | 0.03 | 2.1x | 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 1-day return is greater than -5%
- Sell — Sell when the 1-day return drops to -5% or below