Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Vicinity Centres backtest
10 trend-following strategies were compared on the full daily history of Vicinity Centres. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 3.7%, MDD -44.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 2.4%, drawdown -73.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.7%, MDD -44.9%, Sharpe 0.27, 93% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 28.1%p (CAGR 3.7%, MDD -44.9%, exposure 93%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=3, exitN=91 |
3.7% | -44.9% | 0.27 | 0.08 | 1.7x | 47 | 93% |
| 볼린저 밴드 돌파 n=22, k=3.4 |
0.4% | -11.9% | 0.13 | 0.03 | 1.1x | 6 | 3% |
| SMA 크로스오버 fast=37, slow=175 |
0.7% | -38.6% | 0.12 | 0.02 | 1.1x | 29 | 58% |
| EMA 크로스오버 fast=52, slow=240 |
0.6% | -41.7% | 0.12 | 0.02 | 1.1x | 19 | 56% |
| ROC 모멘텀 n=8, threshold=0.1 |
0.3% | -14.3% | 0.07 | 0.02 | 1.0x | 24 | 1% |
| ADX / DI 방향성 period=35, threshold=21 |
0.2% | -16.4% | 0.06 | 0.01 | 1.0x | 20 | 6% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=24, mult=3.9 |
-0.0% | -5.3% | 0.01 | -0.00 | 1.0x | 2 | 1% |
| Supertrend period=11, mult=4 |
-1.8% | -61.8% | -0.02 | -0.03 | 0.8x | 56 | 61% |
| MACD fast=16, slow=25, signal=17 |
-6.4% | -68.0% | -0.29 | -0.09 | 0.4x | 222 | 50% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-7.9% | -74.2% | -0.37 | -0.11 | 0.3x | 260 | 54% |
| Buy and hold | 2.4% | -73.0% | 0.22 | 0.03 | 1.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 3 days
- Sell — Sell when price breaks below the lowest low of the last 91 days