Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Washington H. Soul Pattinson and Company Limited backtest
10 trend-following strategies were compared on the full daily history of Washington H. Soul Pattinson and Company Limited. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 9.4%, MDD -41.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.9%, drawdown -60.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.4%, MDD -41.6%, Sharpe 0.54, 86% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 19.1%p (CAGR 9.4%, MDD -41.6%, exposure 86%).
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=89, threshold=-0.1 |
9.4% | -41.6% | 0.54 | 0.23 | 32.3x | 131 | 86% |
| ADX / DI 방향성 period=38, threshold=26 |
5.8% | -35.9% | 0.53 | 0.16 | 8.8x | 48 | 23% |
| SMA 크로스오버 fast=58, slow=124 |
7.6% | -46.0% | 0.51 | 0.17 | 17.1x | 81 | 60% |
| Donchian 채널 돌파 entryN=58, exitN=76 |
7.3% | -42.3% | 0.47 | 0.17 | 15.0x | 75 | 64% |
| EMA 크로스오버 fast=31, slow=148 |
7.1% | -51.7% | 0.47 | 0.14 | 14.3x | 77 | 63% |
| Supertrend period=12, mult=3.3 |
6.7% | -43.0% | 0.46 | 0.16 | 12.2x | 206 | 53% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=13, mult=3.6 |
5.3% | -40.2% | 0.43 | 0.13 | 7.4x | 108 | 33% |
| 볼린저 밴드 돌파 n=54, k=2.6 |
4.7% | -31.4% | 0.41 | 0.15 | 6.0x | 108 | 32% |
| Parabolic SAR step=0.005, maxStep=0.36 |
5.7% | -42.6% | 0.40 | 0.13 | 8.4x | 234 | 55% |
| MACD fast=30, slow=60, signal=21 |
2.6% | -48.1% | 0.24 | 0.06 | 2.7x | 304 | 49% |
| Buy and hold | 10.9% | -60.7% | 0.56 | 0.18 | 54.5x | 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 89-day return is greater than -10%
- Sell — Sell when the 89-day return drops to -10% or below