Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Amadeus IT Group SA Class A backtest
10 trend-following strategies were compared on the full daily history of Amadeus IT Group SA Class A. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.2%, drawdown -57.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.5%, MDD -26.6%, Sharpe 0.43, 27% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.1%, MDD -51.7%, exposure 67%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=76, k=2.7 |
4.5% | -26.6% | 0.43 | 0.17 | 2.1x | 27 | 27% |
| Keltner 채널 돌파 emaPeriod=99, atrPeriod=7, mult=4 |
4.4% | -31.6% | 0.41 | 0.14 | 2.0x | 28 | 34% |
| Donchian 채널 돌파 entryN=61, exitN=95 |
6.1% | -51.7% | 0.40 | 0.12 | 2.6x | 21 | 67% |
| EMA 크로스오버 fast=42, slow=85 |
5.3% | -55.5% | 0.37 | 0.10 | 2.3x | 31 | 64% |
| Supertrend period=16, mult=4.9 |
4.3% | -53.1% | 0.31 | 0.08 | 2.0x | 45 | 61% |
| SMA 크로스오버 fast=15, slow=179 |
3.4% | -66.0% | 0.27 | 0.05 | 1.7x | 43 | 62% |
| ROC 모멘텀 n=131, threshold=0.08 |
2.0% | -48.9% | 0.20 | 0.04 | 1.4x | 145 | 45% |
| ADX / DI 방향성 period=49, threshold=14 |
0.9% | -28.2% | 0.15 | 0.03 | 1.2x | 36 | 18% |
| MACD fast=28, slow=62, signal=19 |
-2.2% | -61.1% | -0.03 | -0.04 | 0.7x | 151 | 52% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-5.4% | -63.8% | -0.19 | -0.09 | 0.4x | 255 | 56% |
| Buy and hold | 10.2% | -57.1% | 0.48 | 0.18 | 4.9x | 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 76-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 76-day middle average