Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Altus Group Limited backtest
10 trend-following strategies were compared on the full daily history of Altus Group Limited. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.9%, MDD -33.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 6.0%, drawdown -83.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 10.2%, MDD -46.6%, Sharpe 0.60, 42% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 11.2%, MDD -45.1%, exposure 55%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 36.4%p (CAGR 8.9%, MDD -33.5%, exposure 38%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=25, mult=1.9 |
10.2% | -46.6% | 0.60 | 0.22 | 5.7x | 72 | 42% |
| Supertrend period=14, mult=3.6 |
11.0% | -42.2% | 0.58 | 0.26 | 6.6x | 84 | 53% |
| EMA 크로스오버 fast=21, slow=36 |
11.2% | -45.1% | 0.58 | 0.25 | 6.7x | 91 | 55% |
| SMA 크로스오버 fast=45, slow=177 |
11.0% | -59.7% | 0.58 | 0.18 | 6.5x | 28 | 58% |
| 볼린저 밴드 돌파 n=53, k=1.8 |
8.9% | -33.5% | 0.56 | 0.27 | 4.6x | 74 | 38% |
| Donchian 채널 돌파 entryN=68, exitN=28 |
8.3% | -45.6% | 0.54 | 0.18 | 4.2x | 44 | 35% |
| ROC 모멘텀 n=139, threshold=0.13 |
7.1% | -40.3% | 0.48 | 0.18 | 3.4x | 118 | 37% |
| Parabolic SAR step=0.015, maxStep=0.22 |
4.9% | -70.6% | 0.32 | 0.07 | 2.4x | 283 | 55% |
| MACD fast=14, slow=40, signal=12 |
4.9% | -55.0% | 0.32 | 0.09 | 2.4x | 233 | 50% |
| ADX / DI 방향성 period=37, threshold=13 |
4.1% | -66.4% | 0.32 | 0.06 | 2.1x | 138 | 39% |
| Buy and hold | 6.0% | -83.0% | 0.34 | 0.07 | 2.8x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 66-day average + 1.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 66-day average