Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Atos Group backtest
10 trend-following strategies were compared on the full daily history of Atos Group. 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 2.3%, MDD -66.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -19.4%, drawdown -99.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.3%, MDD -66.9%, Sharpe 0.20, 5% exposure.
CAGR reference leader: Supertrend — CAGR 5.5%, MDD -97.9%, exposure 52%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 21.7%p higher than buy and hold, while drawdown improves by 33.0%p (CAGR 2.3%, MDD -66.9%, exposure 5%).
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=21, k=3.1 |
2.3% | -66.9% | 0.20 | 0.03 | 1.8x | 32 | 5% |
| Supertrend period=17, mult=2.9 |
5.5% | -97.9% | 0.19 | 0.06 | 4.1x | 193 | 52% |
| MACD fast=15, slow=56, signal=8 |
0.1% | -98.9% | 0.19 | 0.00 | 1.0x | 397 | 53% |
| SMA 크로스오버 fast=19, slow=39 |
-13.3% | -99.8% | 0.19 | -0.13 | 0.0x | 180 | 51% |
| ADX / DI 방향성 period=26, threshold=12 |
-14.5% | -99.8% | 0.19 | -0.15 | 0.0x | 296 | 40% |
| ROC 모멘텀 n=41, threshold=-0.01 |
-14.7% | -99.8% | 0.19 | -0.15 | 0.0x | 430 | 53% |
| Parabolic SAR step=0.07, maxStep=0.34 |
-8.0% | -99.9% | 0.18 | -0.08 | 0.1x | 1192 | 50% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=27, mult=3.9 |
0.8% | -67.7% | 0.15 | 0.01 | 1.2x | 12 | 2% |
| Donchian 채널 돌파 entryN=107, exitN=7 |
-5.1% | -86.5% | 0.01 | -0.06 | 0.2x | 88 | 13% |
| EMA 크로스오버 fast=17, slow=218 |
-18.2% | -99.8% | -0.01 | -0.18 | 0.0x | 54 | 42% |
| Buy and hold | -19.4% | -99.9% | 0.19 | -0.19 | 0.0x | 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 21-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 21-day middle average