Trend-Following Backtester · Guide · backtest 한국어
equity · PL
ATAL S.A. backtest
10 trend-following strategies were compared on the full daily history of ATAL S.A.. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.1%, MDD -21.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR 7.4%, drawdown -51.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.5%, MDD -27.3%, Sharpe 0.69, 54% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.1%p higher than buy and hold, while drawdown improves by 24.5%p (CAGR 9.1%, MDD -21.4%, exposure 27%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=38, slow=46 |
13.5% | -27.3% | 0.69 | 0.49 | 3.5x | 74 | 54% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=30, mult=2.6 |
9.1% | -21.4% | 0.64 | 0.42 | 2.4x | 26 | 27% |
| EMA 크로스오버 fast=39, slow=51 |
10.1% | -36.1% | 0.55 | 0.28 | 2.6x | 30 | 54% |
| Donchian 채널 돌파 entryN=47, exitN=39 |
10.0% | -27.3% | 0.55 | 0.37 | 2.6x | 20 | 56% |
| 볼린저 밴드 돌파 n=57, k=2.4 |
7.5% | -21.7% | 0.51 | 0.35 | 2.0x | 24 | 29% |
| ADX / DI 방향성 period=36, threshold=13 |
6.7% | -35.0% | 0.48 | 0.19 | 1.9x | 70 | 29% |
| Supertrend period=15, mult=4.7 |
7.8% | -35.5% | 0.46 | 0.22 | 2.1x | 26 | 50% |
| ROC 모멘텀 n=57, threshold=0.07 |
4.2% | -36.2% | 0.32 | 0.12 | 1.5x | 110 | 35% |
| Parabolic SAR step=0.03, maxStep=0.16 |
1.1% | -51.9% | 0.16 | 0.02 | 1.1x | 238 | 52% |
| MACD fast=22, slow=61, signal=29 |
1.1% | -51.6% | 0.16 | 0.02 | 1.1x | 66 | 51% |
| Buy and hold | 7.4% | -51.8% | 0.38 | 0.14 | 2.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 38-day average price crosses above the 46-day average
- Sell — Sell (to cash) when the 38-day average falls below the 46-day average