Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Treasury Wine Estates Limited backtest
10 trend-following strategies were compared on the full daily history of Treasury Wine Estates Limited. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.8%, MDD -37.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 2.7%, drawdown -82.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.8%, MDD -37.1%, Sharpe 0.51, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 6.1%p higher than buy and hold, while drawdown improves by 45.7%p (CAGR 8.8%, MDD -37.1%, exposure 56%).
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=32, slow=196 |
8.8% | -37.1% | 0.51 | 0.24 | 3.6x | 18 | 56% |
| EMA 크로스오버 fast=58, slow=96 |
6.3% | -40.5% | 0.39 | 0.16 | 2.5x | 20 | 57% |
| Donchian 채널 돌파 entryN=8, exitN=90 |
4.6% | -72.4% | 0.30 | 0.06 | 2.0x | 43 | 86% |
| ROC 모멘텀 n=125, threshold=0.01 |
3.8% | -49.0% | 0.28 | 0.08 | 1.8x | 92 | 57% |
| Supertrend period=28, mult=4.6 |
2.2% | -58.5% | 0.21 | 0.04 | 1.4x | 51 | 59% |
| ADX / DI 방향성 period=20, threshold=37 |
0.5% | -16.5% | 0.13 | 0.03 | 1.1x | 12 | 4% |
| 볼린저 밴드 돌파 n=34, k=3.1 |
0.2% | -33.4% | 0.08 | 0.01 | 1.0x | 32 | 14% |
| MACD fast=22, slow=56, signal=19 |
-3.5% | -80.0% | -0.03 | -0.04 | 0.6x | 131 | 51% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=24, mult=2.2 |
-2.0% | -68.5% | -0.03 | -0.03 | 0.7x | 77 | 34% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-9.3% | -83.4% | -0.32 | -0.11 | 0.2x | 261 | 53% |
| Buy and hold | 2.7% | -82.8% | 0.25 | 0.03 | 1.5x | 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 32-day average price crosses above the 196-day average
- Sell — Sell (to cash) when the 32-day average falls below the 196-day average