Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Alfa Financial Software Holdings Plc backtest
10 trend-following strategies were compared on the full daily history of Alfa Financial Software Holdings Plc. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR -0.1%, MDD -37.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -9.7%, drawdown -90.4%).
Sharpe leader (same as main): Supertrend — CAGR 4.8%, MDD -56.8%, Sharpe 0.31, 59% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 14.5%p higher than buy and hold, while drawdown improves by 33.5%p (CAGR -0.1%, MDD -37.5%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=17, mult=4.5 |
4.8% | -56.8% | 0.31 | 0.08 | 1.5x | 22 | 59% |
| SMA 크로스오버 fast=16, slow=293 |
3.1% | -52.6% | 0.25 | 0.06 | 1.3x | 14 | 43% |
| EMA 크로스오버 fast=17, slow=214 |
2.3% | -51.9% | 0.22 | 0.04 | 1.2x | 16 | 44% |
| Donchian 채널 돌파 entryN=25, exitN=46 |
-1.7% | -56.8% | 0.10 | -0.03 | 0.9x | 29 | 58% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=14, mult=1.9 |
-0.6% | -45.8% | 0.08 | -0.01 | 0.9x | 44 | 26% |
| 볼린저 밴드 돌파 n=32, k=3.5 |
-0.1% | -37.5% | 0.06 | -0.00 | 1.0x | 12 | 7% |
| MACD fast=15, slow=34, signal=20 |
-3.1% | -70.7% | 0.05 | -0.04 | 0.7x | 106 | 50% |
| Parabolic SAR step=0.03, maxStep=0.32 |
-5.0% | -64.1% | -0.01 | -0.08 | 0.6x | 241 | 48% |
| ADX / DI 방향성 period=28, threshold=20 |
-3.2% | -47.6% | -0.07 | -0.07 | 0.7x | 30 | 15% |
| ROC 모멘텀 n=78, threshold=0.06 |
-6.0% | -61.8% | -0.13 | -0.10 | 0.6x | 114 | 33% |
| Buy and hold | -9.7% | -90.4% | 0.03 | -0.11 | 0.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 17-day volatility, 4.5× band
- Sell — Sell when price drops below the trend line (flips down)