Trend-Following Backtester · Guide · backtest 한국어
etf · NZ
Smart Australian Top 200 ETF backtest
10 trend-following strategies were compared on the full daily history of Smart Australian Top 200 ETF. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.3%, drawdown -16.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.5%, MDD -3.5%, Sharpe 0.68, 8% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 7.7%, MDD -16.0%, exposure 94%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=39, threshold=23 |
2.5% | -3.5% | 0.68 | 0.71 | 1.2x | 4 | 8% |
| ROC 모멘텀 n=81, threshold=-0.09 |
7.7% | -16.0% | 0.57 | 0.48 | 1.6x | 5 | 94% |
| Donchian 채널 돌파 entryN=15, exitN=80 |
5.3% | -20.1% | 0.43 | 0.26 | 1.4x | 9 | 90% |
| SMA 크로스오버 fast=71, slow=79 |
2.9% | -21.3% | 0.30 | 0.14 | 1.2x | 38 | 64% |
| EMA 크로스오버 fast=58, slow=166 |
0.2% | -31.2% | 0.08 | 0.01 | 1.0x | 11 | 74% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-1.2% | -18.8% | -0.05 | -0.06 | 0.9x | 81 | 59% |
| Supertrend period=10, mult=4.7 |
-1.7% | -32.1% | -0.07 | -0.05 | 0.9x | 23 | 68% |
| 볼린저 밴드 돌파 n=44, k=3.2 |
-0.5% | -7.9% | -0.09 | -0.06 | 1.0x | 6 | 9% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=26, mult=3.2 |
-2.8% | -22.7% | -0.32 | -0.13 | 0.8x | 20 | 29% |
| MACD fast=18, slow=49, signal=11 |
-7.1% | -38.6% | -0.66 | -0.18 | 0.6x | 93 | 48% |
| Buy and hold | 9.3% | -16.4% | 0.64 | 0.57 | 1.7x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 39-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)