Trend-Following Backtester · Guide · backtest 한국어
equity · AT
AT & S Austria Technologie & Systemtechnik Aktiengesellschaft backtest
10 trend-following strategies were compared on the full daily history of AT & S Austria Technologie & Systemtechnik Aktiengesellschaft. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 13.6%, MDD -27.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR 12.3%, drawdown -85.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 24.6%, MDD -50.1%, Sharpe 0.87, 36% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 26.5%, MDD -67.0%, exposure 48%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 12.3%p higher than buy and hold, while drawdown improves by 35.6%p (CAGR 13.6%, MDD -27.3%, exposure 17%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=144, threshold=0.17 |
24.6% | -50.1% | 0.87 | 0.49 | 62.9x | 89 | 36% |
| SMA 크로스오버 fast=46, slow=207 |
26.5% | -67.0% | 0.86 | 0.40 | 84.0x | 21 | 48% |
| EMA 크로스오버 fast=37, slow=119 |
24.7% | -63.3% | 0.83 | 0.39 | 64.2x | 29 | 49% |
| Donchian 채널 돌파 entryN=111, exitN=66 |
23.8% | -50.5% | 0.81 | 0.47 | 55.9x | 23 | 45% |
| 볼린저 밴드 돌파 n=12, k=2.4 |
13.6% | -27.3% | 0.76 | 0.50 | 10.9x | 110 | 17% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=14, mult=1.6 |
17.4% | -58.3% | 0.70 | 0.30 | 20.4x | 120 | 35% |
| Parabolic SAR step=0.05, maxStep=0.06 |
18.6% | -73.9% | 0.68 | 0.25 | 24.8x | 272 | 51% |
| MACD fast=15, slow=64, signal=15 |
18.2% | -58.1% | 0.67 | 0.31 | 23.2x | 188 | 51% |
| Supertrend period=14, mult=2.2 |
15.8% | -70.2% | 0.61 | 0.22 | 15.7x | 188 | 49% |
| ADX / DI 방향성 period=35, threshold=14 |
13.4% | -46.2% | 0.58 | 0.29 | 10.7x | 149 | 29% |
| Buy and hold | 12.3% | -85.8% | 0.48 | 0.14 | 8.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 144-day return is greater than 17%
- Sell — Sell when the 144-day return drops to 17% or below