Trend-Following Backtester · Guide · backtest 한국어
equity · FR
AXA SA backtest
10 trend-following strategies were compared on the full daily history of AXA SA. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.8%, drawdown -86.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.1%, MDD -7.8%, Sharpe 0.32, 2% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 3.8%, MDD -57.4%, exposure 63%.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=23, threshold=44 |
1.1% | -7.8% | 0.32 | 0.14 | 1.5x | 8 | 2% |
| EMA 크로스오버 fast=50, slow=149 |
3.8% | -57.4% | 0.28 | 0.07 | 3.8x | 53 | 63% |
| SMA 크로스오버 fast=17, slow=213 |
3.8% | -57.8% | 0.28 | 0.07 | 3.8x | 73 | 61% |
| 볼린저 밴드 돌파 n=23, k=3.1 |
1.0% | -22.4% | 0.17 | 0.04 | 1.4x | 46 | 7% |
| Parabolic SAR step=0.01, maxStep=0.08 |
0.9% | -67.6% | 0.16 | 0.01 | 1.4x | 417 | 54% |
| Donchian 채널 돌파 entryN=64, exitN=78 |
0.7% | -77.7% | 0.15 | 0.01 | 1.3x | 71 | 64% |
| MACD fast=13, slow=57, signal=22 |
-2.5% | -91.8% | 0.02 | -0.03 | 0.4x | 409 | 50% |
| ROC 모멘텀 n=88, threshold=-0.04 |
-2.7% | -94.2% | 0.01 | -0.03 | 0.4x | 331 | 68% |
| Supertrend period=12, mult=2.6 |
-2.7% | -91.5% | 0.01 | -0.03 | 0.4x | 355 | 55% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=16, mult=3.6 |
-1.2% | -58.0% | -0.08 | -0.02 | 0.6x | 86 | 14% |
| Buy and hold | 5.8% | -86.2% | 0.33 | 0.07 | 7.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 23-day) is ≥ 44
- Sell — Sell when direction flips or the trend weakens (ADX < 44)