Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Alstom SA backtest
10 trend-following strategies were compared on the full daily history of Alstom SA. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.3%, MDD -13.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.2%, drawdown -86.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.0%, MDD -19.3%, Sharpe 0.52, 8% exposure.
CAGR reference leader: MACD — CAGR 5.7%, MDD -50.5%, exposure 50%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.8%p higher than buy and hold, while drawdown improves by 66.9%p (CAGR 0.3%, MDD -13.7%, exposure 1%).
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=33, k=3.3 |
5.0% | -19.3% | 0.52 | 0.26 | 2.8x | 22 | 8% |
| MACD fast=24, slow=57, signal=14 |
5.7% | -50.5% | 0.34 | 0.11 | 3.2x | 195 | 50% |
| Donchian 채널 돌파 entryN=12, exitN=51 |
5.0% | -64.0% | 0.31 | 0.08 | 2.8x | 77 | 79% |
| SMA 크로스오버 fast=41, slow=74 |
4.2% | -65.3% | 0.29 | 0.06 | 2.4x | 80 | 54% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=21, mult=2.7 |
2.5% | -35.0% | 0.28 | 0.07 | 1.7x | 50 | 9% |
| Supertrend period=17, mult=3.4 |
2.5% | -78.5% | 0.22 | 0.03 | 1.7x | 116 | 49% |
| ROC 모멘텀 n=49, threshold=-0.11 |
1.7% | -75.8% | 0.20 | 0.02 | 1.4x | 189 | 81% |
| Parabolic SAR step=0.005, maxStep=0.04 |
1.8% | -68.9% | 0.19 | 0.03 | 1.4x | 154 | 51% |
| EMA 크로스오버 fast=78, slow=107 |
0.7% | -66.8% | 0.15 | 0.01 | 1.2x | 32 | 59% |
| ADX / DI 방향성 period=38, threshold=32 |
0.3% | -13.7% | 0.09 | 0.02 | 1.1x | 2 | 1% |
| Buy and hold | 0.2% | -86.2% | 0.20 | 0.00 | 1.0x | 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 33-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 33-day middle average