Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Xero Limited backtest
10 trend-following strategies were compared on the full daily history of Xero Limited. 8 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 24.6%, MDD -26.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR 22.1%, drawdown -71.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 32.8%, MDD -39.0%, Sharpe 1.11, 61% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 33.1%, MDD -49.6%, exposure 69%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 10.7%p higher than buy and hold, while drawdown improves by 32.1%p (CAGR 24.6%, MDD -26.5%, exposure 36%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=23, slow=43 |
32.8% | -39.0% | 1.11 | 0.84 | 49.2x | 40 | 61% |
| Donchian 채널 돌파 entryN=22, exitN=46 |
33.1% | -49.6% | 1.08 | 0.67 | 50.8x | 32 | 69% |
| Supertrend period=27, mult=5 |
29.8% | -58.2% | 1.07 | 0.51 | 35.9x | 38 | 58% |
| SMA 크로스오버 fast=28, slow=60 |
31.4% | -36.9% | 1.06 | 0.85 | 42.5x | 48 | 60% |
| 볼린저 밴드 돌파 n=56, k=2.3 |
24.6% | -26.5% | 1.04 | 0.93 | 20.5x | 38 | 36% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=16, mult=3.1 |
23.8% | -28.9% | 1.00 | 0.82 | 18.8x | 46 | 39% |
| ROC 모멘텀 n=46, threshold=-0.03 |
28.7% | -57.0% | 0.98 | 0.50 | 31.8x | 116 | 65% |
| Parabolic SAR step=0.005, maxStep=0.34 |
23.6% | -42.9% | 0.89 | 0.55 | 18.3x | 108 | 56% |
| ADX / DI 방향성 period=33, threshold=13 |
20.4% | -34.1% | 0.88 | 0.60 | 12.8x | 82 | 40% |
| MACD fast=19, slow=57, signal=20 |
11.6% | -60.7% | 0.53 | 0.19 | 4.5x | 126 | 51% |
| Buy and hold | 22.1% | -71.1% | 0.70 | 0.31 | 15.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 23-day EMA crosses above the 43-day EMA
- Sell — Sell when the 23-day EMA falls below the 43-day EMA