Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Avolta AG backtest
10 trend-following strategies were compared on the full daily history of Avolta AG. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.3%, MDD -23.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.3%, drawdown -88.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.3%, MDD -33.1%, Sharpe 0.40, 14% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 5.8%, MDD -53.4%, exposure 52%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 55.2%p (CAGR 4.3%, MDD -23.1%, 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=35, k=2.9 |
5.3% | -33.1% | 0.40 | 0.16 | 2.9x | 42 | 14% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=12, mult=3.8 |
4.3% | -23.1% | 0.39 | 0.18 | 2.4x | 24 | 9% |
| EMA 크로스오버 fast=57, slow=147 |
5.8% | -53.4% | 0.37 | 0.11 | 3.2x | 23 | 52% |
| ADX / DI 방향성 period=13, threshold=34 |
3.5% | -23.6% | 0.37 | 0.15 | 2.0x | 60 | 9% |
| ROC 모멘텀 n=135, threshold=-0.04 |
5.2% | -62.2% | 0.33 | 0.08 | 2.8x | 137 | 59% |
| SMA 크로스오버 fast=12, slow=165 |
4.9% | -45.9% | 0.32 | 0.11 | 2.7x | 54 | 49% |
| Donchian 채널 돌파 entryN=45, exitN=14 |
4.0% | -51.4% | 0.29 | 0.08 | 2.2x | 84 | 33% |
| MACD fast=15, slow=28, signal=19 |
3.1% | -63.2% | 0.25 | 0.05 | 1.9x | 268 | 50% |
| Supertrend period=37, mult=3.5 |
0.6% | -82.6% | 0.16 | 0.01 | 1.1x | 116 | 54% |
| Parabolic SAR step=0.045, maxStep=0.22 |
-5.8% | -87.7% | -0.08 | -0.07 | 0.3x | 667 | 52% |
| Buy and hold | -2.3% | -88.3% | 0.16 | -0.03 | 0.6x | 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 35-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 35-day middle average