Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Altarea SCA backtest
10 trend-following strategies were compared on the full daily history of Altarea SCA. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.2%, MDD -57.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.9%, drawdown -72.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.4%, MDD -66.3%, Sharpe 0.43, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 5.9%p (CAGR 5.2%, MDD -57.4%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=79, exitN=75 |
7.4% | -66.3% | 0.43 | 0.11 | 6.7x | 38 | 59% |
| ROC 모멘텀 n=130, threshold=-0.04 |
7.2% | -59.6% | 0.40 | 0.12 | 6.3x | 166 | 68% |
| SMA 크로스오버 fast=16, slow=102 |
5.2% | -57.4% | 0.35 | 0.09 | 3.9x | 98 | 53% |
| EMA 크로스오버 fast=58, slow=106 |
4.7% | -68.3% | 0.31 | 0.07 | 3.4x | 44 | 61% |
| ADX / DI 방향성 period=37, threshold=26 |
2.2% | -44.1% | 0.23 | 0.05 | 1.8x | 44 | 15% |
| 볼린저 밴드 돌파 n=58, k=2.1 |
2.2% | -66.7% | 0.21 | 0.03 | 1.8x | 88 | 30% |
| MACD fast=20, slow=34, signal=15 |
1.5% | -64.0% | 0.17 | 0.02 | 1.5x | 275 | 50% |
| Supertrend period=10, mult=3 |
1.3% | -60.5% | 0.17 | 0.02 | 1.4x | 234 | 55% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=17, mult=3 |
1.3% | -75.4% | 0.17 | 0.02 | 1.4x | 108 | 21% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-0.0% | -70.0% | 0.10 | -0.00 | 1.0x | 339 | 53% |
| Buy and hold | 5.9% | -72.2% | 0.34 | 0.08 | 4.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 79 days
- Sell — Sell when price breaks below the lowest low of the last 75 days