Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Worley Limited backtest
10 trend-following strategies were compared on the full daily history of Worley Limited. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 10.7%, MDD -41.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR 7.5%, drawdown -94.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.8%, MDD -43.6%, Sharpe 0.59, 37% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 10.8%, MDD -69.6%, exposure 52%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 50.6%p (CAGR 10.7%, MDD -41.5%, exposure 34%).
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=122, exitN=33 |
10.8% | -43.6% | 0.59 | 0.25 | 11.3x | 38 | 37% |
| ROC 모멘텀 n=118, threshold=0.15 |
10.7% | -41.5% | 0.59 | 0.26 | 11.2x | 150 | 34% |
| 볼린저 밴드 돌파 n=76, k=2.7 |
8.4% | -48.2% | 0.56 | 0.17 | 6.7x | 32 | 24% |
| SMA 크로스오버 fast=11, slow=172 |
10.8% | -69.6% | 0.52 | 0.16 | 11.4x | 58 | 52% |
| EMA 크로스오버 fast=30, slow=98 |
10.6% | -76.1% | 0.51 | 0.14 | 10.9x | 60 | 55% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=15, mult=3.9 |
8.2% | -52.8% | 0.49 | 0.16 | 6.5x | 48 | 27% |
| ADX / DI 방향성 period=33, threshold=14 |
5.6% | -73.1% | 0.35 | 0.08 | 3.6x | 138 | 31% |
| Supertrend period=9, mult=4.4 |
5.8% | -79.3% | 0.34 | 0.07 | 3.8x | 104 | 60% |
| Parabolic SAR step=0.005, maxStep=0.32 |
0.9% | -86.9% | 0.17 | 0.01 | 1.2x | 192 | 56% |
| MACD fast=19, slow=58, signal=17 |
-0.1% | -83.1% | 0.13 | -0.00 | 1.0x | 252 | 51% |
| Buy and hold | 7.5% | -94.2% | 0.38 | 0.08 | 5.6x | 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 122 days
- Sell — Sell when price breaks below the lowest low of the last 33 days