Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Abivax SA backtest
10 trend-following strategies were compared on the full daily history of Abivax SA. 10 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 32.1%, MDD -37.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR 14.7%, drawdown -87.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 32.1%, MDD -37.4%, Sharpe 0.76, 20% exposure.
CAGR reference leader: Parabolic SAR — CAGR 45.2%, MDD -72.1%, exposure 43%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 17.4%p higher than buy and hold, while drawdown improves by 49.9%p (CAGR 32.1%, MDD -37.4%, 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=38, k=3 |
32.1% | -37.4% | 0.76 | 0.86 | 22.5x | 24 | 20% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=25, mult=4 |
17.7% | -41.6% | 0.53 | 0.43 | 6.2x | 20 | 11% |
| Parabolic SAR step=0.025, maxStep=0.26 |
45.2% | -72.1% | 0.50 | 0.63 | 64.9x | 244 | 43% |
| ROC 모멘텀 n=50, threshold=0.14 |
44.4% | -41.6% | 0.47 | 1.07 | 60.8x | 75 | 26% |
| Donchian 채널 돌파 entryN=20, exitN=17 |
38.8% | -61.7% | 0.46 | 0.63 | 39.1x | 54 | 42% |
| ADX / DI 방향성 period=15, threshold=34 |
43.5% | -51.8% | 0.46 | 0.84 | 56.6x | 26 | 16% |
| SMA 크로스오버 fast=15, slow=53 |
36.9% | -60.0% | 0.45 | 0.61 | 33.5x | 60 | 40% |
| MACD fast=14, slow=54, signal=7 |
28.9% | -70.9% | 0.43 | 0.41 | 17.1x | 174 | 48% |
| Supertrend period=18, mult=4 |
27.1% | -65.2% | 0.41 | 0.42 | 14.7x | 52 | 43% |
| EMA 크로스오버 fast=34, slow=148 |
26.7% | -62.5% | 0.40 | 0.43 | 14.0x | 17 | 44% |
| Buy and hold | 14.7% | -87.3% | 0.40 | 0.17 | 4.6x | 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 38-day average (3× volatility)
- Sell — Sell when the close falls back to the 38-day middle average