Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Angelalign Technology Inc. backtest
10 trend-following strategies were compared on the full daily history of Angelalign Technology Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR -1.1%, MDD -14.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -27.1%, drawdown -90.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.1%, MDD -29.3%, Sharpe 0.32, 32% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 32.2%p higher than buy and hold, while drawdown improves by 60.9%p (CAGR -1.1%, MDD -14.8%, exposure 3%).
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=23, k=1.4 |
5.1% | -29.3% | 0.32 | 0.18 | 1.3x | 43 | 32% |
| Parabolic SAR step=0.01, maxStep=0.22 |
4.7% | -57.4% | 0.31 | 0.08 | 1.3x | 57 | 44% |
| EMA 크로스오버 fast=44, slow=286 |
2.1% | -29.0% | 0.21 | 0.07 | 1.1x | 3 | 18% |
| MACD fast=18, slow=42, signal=17 |
-1.0% | -53.9% | 0.19 | -0.02 | 0.9x | 41 | 48% |
| Supertrend period=11, mult=2 |
-1.3% | -52.2% | 0.15 | -0.03 | 0.9x | 49 | 44% |
| ROC 모멘텀 n=17, threshold=0.04 |
-1.6% | -50.6% | 0.12 | -0.03 | 0.9x | 105 | 34% |
| Donchian 채널 돌파 entryN=116, exitN=45 |
-0.3% | -38.5% | 0.07 | -0.01 | 1.0x | 3 | 23% |
| ADX / DI 방향성 period=13, threshold=20 |
-3.9% | -48.5% | 0.04 | -0.08 | 0.8x | 55 | 30% |
| SMA 크로스오버 fast=8, slow=30 |
-5.5% | -55.3% | 0.01 | -0.10 | 0.7x | 43 | 40% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=24, mult=3 |
-1.1% | -14.8% | -0.07 | -0.07 | 0.9x | 4 | 3% |
| Buy and hold | -27.1% | -90.2% | -0.27 | -0.30 | 0.2x | 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 23-day average (1.4× volatility)
- Sell — Sell when the close falls back to the 23-day middle average