Trend-Following Backtester · Guide · backtest 한국어
equity · PL
Allegro.eu S.A. backtest
10 trend-following strategies were compared on the full daily history of Allegro.eu S.A.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.8%, MDD -24.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -9.2%, drawdown -80.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.0%, MDD -31.2%, Sharpe 0.46, 44% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 17.2%p higher than buy and hold, while drawdown improves by 49.4%p (CAGR 3.8%, MDD -24.7%, exposure 13%).
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=24, slow=134 |
8.0% | -31.2% | 0.46 | 0.26 | 1.6x | 15 | 44% |
| 볼린저 밴드 돌파 n=14, k=2.7 |
4.2% | -27.9% | 0.46 | 0.15 | 1.3x | 14 | 9% |
| EMA 크로스오버 fast=43, slow=67 |
7.6% | -28.9% | 0.45 | 0.26 | 1.5x | 11 | 44% |
| ADX / DI 방향성 period=12, threshold=33 |
3.8% | -24.7% | 0.37 | 0.15 | 1.2x | 22 | 13% |
| MACD fast=18, slow=53, signal=23 |
4.2% | -48.4% | 0.29 | 0.09 | 1.3x | 50 | 49% |
| ROC 모멘텀 n=117, threshold=-0.04 |
3.9% | -34.5% | 0.28 | 0.11 | 1.2x | 41 | 48% |
| Donchian 채널 돌파 entryN=41, exitN=69 |
2.5% | -45.3% | 0.22 | 0.05 | 1.2x | 11 | 53% |
| Supertrend period=15, mult=4.9 |
-1.5% | -56.4% | 0.08 | -0.03 | 0.9x | 17 | 52% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=19, mult=3.5 |
-0.4% | -28.6% | 0.02 | -0.02 | 1.0x | 12 | 11% |
| Parabolic SAR step=0.015, maxStep=0.32 |
-4.7% | -63.6% | -0.04 | -0.07 | 0.8x | 104 | 46% |
| Buy and hold | -9.2% | -80.6% | -0.02 | -0.11 | 0.6x | 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 24-day average price crosses above the 134-day average
- Sell — Sell (to cash) when the 24-day average falls below the 134-day average