Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Sonic Healthcare Limited backtest
10 trend-following strategies were compared on the full daily history of Sonic Healthcare Limited. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.2%, MDD -48.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.2%, drawdown -90.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.2%, MDD -48.1%, Sharpe 0.44, 61% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 41.9%p (CAGR 11.2%, MDD -48.1%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=30, slow=186 |
11.2% | -48.1% | 0.44 | 0.23 | 58.6x | 60 | 61% |
| EMA 크로스오버 fast=58, slow=107 |
10.0% | -53.0% | 0.42 | 0.19 | 39.9x | 60 | 62% |
| Donchian 채널 돌파 entryN=91, exitN=77 |
9.7% | -58.2% | 0.41 | 0.17 | 35.0x | 59 | 56% |
| ROC 모멘텀 n=108, threshold=-0.04 |
8.1% | -78.7% | 0.36 | 0.10 | 19.8x | 267 | 69% |
| 볼린저 밴드 돌파 n=60, k=2.7 |
7.3% | -65.2% | 0.34 | 0.11 | 15.1x | 94 | 28% |
| Supertrend period=12, mult=5 |
7.1% | -72.0% | 0.34 | 0.10 | 14.0x | 123 | 59% |
| ADX / DI 방향성 period=37, threshold=39 |
7.1% | -43.4% | 0.34 | 0.16 | 13.8x | 42 | 14% |
| Parabolic SAR step=0.005, maxStep=0.32 |
4.2% | -82.8% | 0.26 | 0.05 | 4.9x | 261 | 56% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=18, mult=2.5 |
4.1% | -72.0% | 0.25 | 0.06 | 4.6x | 104 | 21% |
| MACD fast=14, slow=55, signal=7 |
-2.7% | -90.6% | 0.03 | -0.03 | 0.3x | 603 | 51% |
| Buy and hold | 12.2% | -90.0% | 0.46 | 0.14 | 83.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 30-day average price crosses above the 186-day average
- Sell — Sell (to cash) when the 30-day average falls below the 186-day average