Trend-Following Backtester · Guide · backtest 한국어
equity · GR
Athens Water Supply and Sewerage Company S.A. backtest
10 trend-following strategies were compared on the full daily history of Athens Water Supply and Sewerage Company S.A.. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.5%, MDD -36.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 1.7%, drawdown -84.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.0%, MDD -54.3%, Sharpe 0.34, 38% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 30.4%p (CAGR 3.5%, MDD -36.8%, exposure 14%).
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=87, exitN=55 |
5.0% | -54.3% | 0.34 | 0.09 | 3.7x | 39 | 38% |
| 볼린저 밴드 돌파 n=47, k=3 |
3.5% | -36.8% | 0.32 | 0.09 | 2.5x | 44 | 14% |
| EMA 크로스오버 fast=30, slow=157 |
2.3% | -61.5% | 0.21 | 0.04 | 1.8x | 59 | 46% |
| SMA 크로스오버 fast=19, slow=214 |
2.1% | -71.4% | 0.20 | 0.03 | 1.7x | 45 | 46% |
| Supertrend period=16, mult=3.2 |
1.2% | -72.2% | 0.17 | 0.02 | 1.4x | 132 | 49% |
| ADX / DI 방향성 period=10, threshold=40 |
0.1% | -41.5% | 0.07 | 0.00 | 1.0x | 118 | 9% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=24, mult=3.5 |
-0.1% | -62.7% | 0.07 | -0.00 | 1.0x | 55 | 17% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-1.6% | -87.8% | 0.06 | -0.02 | 0.6x | 210 | 51% |
| ROC 모멘텀 n=103, threshold=0.11 |
-0.7% | -72.0% | 0.05 | -0.01 | 0.8x | 191 | 27% |
| MACD fast=13, slow=24, signal=19 |
-2.7% | -84.5% | 0.01 | -0.03 | 0.5x | 370 | 51% |
| Buy and hold | 1.7% | -84.7% | 0.23 | 0.02 | 1.6x | 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 87 days
- Sell — Sell when price breaks below the lowest low of the last 55 days