Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Aroundtown SA backtest
10 trend-following strategies were compared on the full daily history of Aroundtown SA. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.0%, MDD -20.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR -6.6%, drawdown -89.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.0%, MDD -20.4%, Sharpe 0.50, 20% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 8.1%, MDD -32.6%, exposure 46%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 14.7%p higher than buy and hold, while drawdown improves by 69.3%p (CAGR 8.0%, MDD -20.4%, exposure 20%).
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=61, k=2.8 |
8.0% | -20.4% | 0.50 | 0.39 | 2.2x | 14 | 20% |
| ADX / DI 방향성 period=19, threshold=30 |
5.4% | -22.2% | 0.45 | 0.24 | 1.7x | 26 | 10% |
| Donchian 채널 돌파 entryN=72, exitN=46 |
8.1% | -32.6% | 0.44 | 0.25 | 2.2x | 16 | 46% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=9, mult=3.3 |
4.9% | -22.6% | 0.39 | 0.22 | 1.6x | 20 | 12% |
| Supertrend period=10, mult=4.3 |
5.3% | -36.3% | 0.32 | 0.15 | 1.7x | 38 | 53% |
| EMA 크로스오버 fast=50, slow=64 |
5.0% | -41.4% | 0.32 | 0.12 | 1.7x | 20 | 52% |
| SMA 크로스오버 fast=29, slow=56 |
5.1% | -51.6% | 0.32 | 0.10 | 1.7x | 54 | 52% |
| ROC 모멘텀 n=60, threshold=0.14 |
3.8% | -29.0% | 0.28 | 0.13 | 1.5x | 80 | 19% |
| Parabolic SAR step=0.015, maxStep=0.08 |
-4.1% | -48.2% | -0.00 | -0.08 | 0.7x | 158 | 51% |
| MACD fast=12, slow=35, signal=14 |
-8.1% | -64.5% | -0.14 | -0.13 | 0.4x | 167 | 51% |
| Buy and hold | -6.6% | -89.7% | 0.04 | -0.07 | 0.5x | 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 61-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 61-day middle average