Trend-Following Backtester · Guide · backtest 한국어
equity · NL
Avantium N.V. backtest
10 trend-following strategies were compared on the full daily history of Avantium N.V.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.8%, MDD -29.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -27.0%, drawdown -94.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 11.8%, MDD -56.1%, Sharpe 0.48, 25% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 38.8%p higher than buy and hold, while drawdown improves by 38.8%p (CAGR 5.8%, MDD -29.7%, exposure 11%).
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=22, k=1.6 |
11.8% | -56.1% | 0.48 | 0.21 | 2.9x | 68 | 25% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=15, mult=2.2 |
7.2% | -37.4% | 0.37 | 0.19 | 1.9x | 36 | 15% |
| Donchian 채널 돌파 entryN=73, exitN=14 |
5.8% | -29.7% | 0.35 | 0.20 | 1.7x | 16 | 11% |
| ROC 모멘텀 n=12, threshold=0.12 |
5.7% | -41.6% | 0.33 | 0.14 | 1.7x | 82 | 9% |
| ADX / DI 방향성 period=22, threshold=23 |
5.8% | -47.2% | 0.33 | 0.12 | 1.7x | 36 | 19% |
| MACD fast=16, slow=41, signal=13 |
4.2% | -69.5% | 0.30 | 0.06 | 1.5x | 96 | 51% |
| Parabolic SAR step=0.01, maxStep=0.14 |
3.7% | -60.6% | 0.28 | 0.06 | 1.4x | 98 | 41% |
| Supertrend period=17, mult=1.9 |
0.8% | -68.0% | 0.21 | 0.01 | 1.1x | 112 | 41% |
| EMA 크로스오버 fast=11, slow=27 |
-1.3% | -49.0% | 0.14 | -0.03 | 0.9x | 62 | 34% |
| SMA 크로스오버 fast=67, slow=269 |
0.0% | -62.1% | 0.13 | 0.00 | 1.0x | 6 | 20% |
| Buy and hold | -27.0% | -94.9% | -0.30 | -0.28 | 0.1x | 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 22-day average (1.6× volatility)
- Sell — Sell when the close falls back to the 22-day middle average