Trend-Following Backtester · Guide · backtest 한국어
equity · NL
Adyen NV backtest
10 trend-following strategies were compared on the full daily history of Adyen NV. 4 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 16.0%, MDD -42.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 10.6%, drawdown -77.2%).
Sharpe leader (same as main): Supertrend — CAGR 16.0%, MDD -42.7%, Sharpe 0.69, 43% exposure.
Return/drawdown alternative: Supertrend — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 34.5%p (CAGR 16.0%, MDD -42.7%, exposure 43%).
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=13, mult=4.4 |
16.0% | -42.7% | 0.69 | 0.38 | 3.4x | 31 | 43% |
| Parabolic SAR step=0.01, maxStep=0.18 |
15.9% | -48.8% | 0.64 | 0.33 | 3.4x | 105 | 53% |
| Donchian 채널 돌파 entryN=108, exitN=6 |
7.5% | -22.1% | 0.62 | 0.34 | 1.8x | 25 | 15% |
| MACD fast=17, slow=55, signal=15 |
15.1% | -58.4% | 0.60 | 0.26 | 3.2x | 87 | 49% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=23, mult=1.2 |
12.0% | -46.2% | 0.57 | 0.26 | 2.5x | 55 | 42% |
| ADX / DI 방향성 period=23, threshold=30 |
5.8% | -20.2% | 0.56 | 0.29 | 1.6x | 10 | 8% |
| 볼린저 밴드 돌파 n=19, k=2.4 |
8.1% | -43.0% | 0.52 | 0.19 | 1.9x | 47 | 24% |
| EMA 크로스오버 fast=45, slow=128 |
7.8% | -56.8% | 0.41 | 0.14 | 1.9x | 10 | 53% |
| SMA 크로스오버 fast=19, slow=196 |
5.2% | -62.1% | 0.33 | 0.08 | 1.5x | 12 | 51% |
| ROC 모멘텀 n=184, threshold=0.07 |
4.8% | -53.0% | 0.31 | 0.09 | 1.5x | 48 | 46% |
| Buy and hold | 10.6% | -77.2% | 0.45 | 0.14 | 2.3x | 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) — 13-day volatility, 4.4× band
- Sell — Sell when price drops below the trend line (flips down)