Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Allos S.A. backtest
10 trend-following strategies were compared on the full daily history of Allos S.A.. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.0%, MDD -19.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR 2.0%, drawdown -71.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.8%, MDD -22.5%, Sharpe 0.58, 30% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.8%p higher than buy and hold, while drawdown improves by 49.1%p (CAGR 2.0%, MDD -19.2%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=44, k=2.2 |
7.8% | -22.5% | 0.58 | 0.35 | 3.2x | 52 | 30% |
| Donchian 채널 돌파 entryN=64, exitN=9 |
4.7% | -28.6% | 0.43 | 0.16 | 2.0x | 60 | 22% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=26, mult=1.9 |
5.4% | -39.3% | 0.42 | 0.14 | 2.2x | 72 | 31% |
| ROC 모멘텀 n=144, threshold=0.19 |
3.8% | -35.6% | 0.35 | 0.11 | 1.8x | 70 | 25% |
| MACD fast=22, slow=36, signal=16 |
4.9% | -59.8% | 0.33 | 0.08 | 2.1x | 147 | 50% |
| SMA 크로스오버 fast=6, slow=51 |
4.6% | -51.1% | 0.33 | 0.09 | 2.0x | 104 | 51% |
| ADX / DI 방향성 period=12, threshold=39 |
2.0% | -19.2% | 0.29 | 0.10 | 1.4x | 46 | 9% |
| EMA 크로스오버 fast=16, slow=193 |
3.4% | -55.2% | 0.27 | 0.06 | 1.7x | 28 | 46% |
| Supertrend period=15, mult=2.9 |
3.3% | -55.8% | 0.26 | 0.06 | 1.7x | 90 | 53% |
| Parabolic SAR step=0.005, maxStep=0.42 |
0.8% | -61.3% | 0.15 | 0.01 | 1.1x | 130 | 50% |
| Buy and hold | 2.0% | -71.6% | 0.23 | 0.03 | 1.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 44-day average (2.2× volatility)
- Sell — Sell when the close falls back to the 44-day middle average