Trend-Following Backtester · Guide · backtest 한국어
equity · GR
Aktor Societe Anonyme Holding Company Technical and Energy Projects backtest
10 trend-following strategies were compared on the full daily history of Aktor Societe Anonyme Holding Company Technical and Energy Projects. 10 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.8%, MDD -44.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.2%, drawdown -98.9%).
Sharpe leader (same as main): Parabolic SAR — CAGR 9.5%, MDD -81.3%, Sharpe 0.42, 49% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 13.7%p higher than buy and hold, while drawdown improves by 17.6%p (CAGR 5.8%, MDD -44.6%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.01, maxStep=0.3 |
9.5% | -81.3% | 0.42 | 0.12 | 9.3x | 304 | 49% |
| Donchian 채널 돌파 entryN=65, exitN=28 |
8.4% | -65.4% | 0.40 | 0.13 | 7.3x | 54 | 34% |
| ADX / DI 방향성 period=9, threshold=39 |
6.6% | -58.1% | 0.40 | 0.11 | 4.8x | 162 | 14% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=21, mult=2.9 |
5.8% | -44.6% | 0.38 | 0.13 | 4.1x | 70 | 12% |
| Supertrend period=12, mult=4.4 |
7.5% | -73.6% | 0.38 | 0.10 | 5.9x | 78 | 52% |
| EMA 크로스오버 fast=18, slow=75 |
7.0% | -66.8% | 0.37 | 0.10 | 5.3x | 79 | 49% |
| SMA 크로스오버 fast=52, slow=183 |
6.5% | -80.8% | 0.36 | 0.08 | 4.7x | 33 | 52% |
| 볼린저 밴드 돌파 n=23, k=2.3 |
4.9% | -72.0% | 0.31 | 0.07 | 3.2x | 160 | 25% |
| MACD fast=15, slow=32, signal=9 |
-1.7% | -94.6% | 0.17 | -0.02 | 0.7x | 404 | 51% |
| ROC 모멘텀 n=80, threshold=0.01 |
-1.7% | -88.4% | 0.16 | -0.02 | 0.7x | 306 | 48% |
| Buy and hold | -4.2% | -98.9% | 0.22 | -0.04 | 0.3x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots