Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Woolworths Group Ltd backtest
10 trend-following strategies were compared on the full daily history of Woolworths Group Ltd. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.3%, MDD -33.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.9%, drawdown -46.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.3%, MDD -33.0%, Sharpe 0.53, 60% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 8.8%, MDD -46.7%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 13.8%p (CAGR 7.3%, MDD -33.0%, exposure 60%).
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=57, slow=299 |
7.3% | -33.0% | 0.53 | 0.22 | 10.1x | 33 | 60% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.14 |
8.8% | -46.7% | 0.51 | 0.19 | 16.4x | 3 | 100% |
| Donchian 채널 돌파 entryN=100, exitN=77 |
5.1% | -34.4% | 0.43 | 0.15 | 5.2x | 49 | 51% |
| EMA 크로스오버 fast=57, slow=177 |
4.8% | -51.4% | 0.37 | 0.09 | 4.7x | 53 | 62% |
| ADX / DI 방향성 period=30, threshold=27 |
2.0% | -32.5% | 0.27 | 0.06 | 1.9x | 42 | 14% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=9, mult=2.4 |
2.6% | -45.8% | 0.26 | 0.06 | 2.4x | 139 | 42% |
| Supertrend period=16, mult=5 |
2.7% | -56.1% | 0.25 | 0.05 | 2.4x | 123 | 54% |
| 볼린저 밴드 돌파 n=14, k=3 |
0.8% | -22.9% | 0.14 | 0.03 | 1.3x | 54 | 11% |
| Parabolic SAR step=0.005, maxStep=0.44 |
-1.1% | -72.6% | 0.00 | -0.02 | 0.7x | 257 | 55% |
| MACD fast=14, slow=44, signal=16 |
-3.2% | -79.4% | -0.16 | -0.04 | 0.3x | 426 | 51% |
| Buy and hold | 8.9% | -46.7% | 0.51 | 0.19 | 16.4x | 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 57-day average price crosses above the 299-day average
- Sell — Sell (to cash) when the 57-day average falls below the 299-day average