Trend-Following Backtester · Guide · backtest 한국어
equity · PL
Alior Bank SA backtest
10 trend-following strategies were compared on the full daily history of Alior Bank SA. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 12.9%, MDD -36.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR 7.4%, drawdown -87.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.5%, MDD -50.0%, Sharpe 0.74, 52% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.2%p higher than buy and hold, while drawdown improves by 37.1%p (CAGR 12.9%, MDD -36.8%, exposure 26%).
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=52, slow=88 |
17.5% | -50.0% | 0.74 | 0.35 | 9.2x | 39 | 52% |
| ADX / DI 방향성 period=49, threshold=12 |
12.9% | -36.8% | 0.71 | 0.35 | 5.3x | 48 | 26% |
| EMA 크로스오버 fast=32, slow=219 |
15.3% | -43.0% | 0.66 | 0.36 | 7.0x | 15 | 52% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=11, mult=2.7 |
11.0% | -40.0% | 0.59 | 0.28 | 4.2x | 44 | 34% |
| Donchian 채널 돌파 entryN=11, exitN=77 |
15.1% | -73.7% | 0.59 | 0.20 | 6.9x | 33 | 80% |
| ROC 모멘텀 n=85, threshold=0.1 |
11.4% | -46.5% | 0.59 | 0.25 | 4.4x | 106 | 37% |
| 볼린저 밴드 돌파 n=56, k=3.2 |
7.0% | -36.2% | 0.55 | 0.19 | 2.5x | 12 | 13% |
| Supertrend period=10, mult=5 |
10.3% | -60.1% | 0.49 | 0.17 | 3.8x | 37 | 53% |
| Parabolic SAR step=0.03, maxStep=0.18 |
-1.1% | -88.2% | 0.09 | -0.01 | 0.9x | 351 | 52% |
| MACD fast=9, slow=59, signal=14 |
-3.9% | -86.1% | -0.02 | -0.05 | 0.6x | 208 | 50% |
| Buy and hold | 7.4% | -87.1% | 0.38 | 0.08 | 2.6x | 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 52-day average price crosses above the 88-day average
- Sell — Sell (to cash) when the 52-day average falls below the 88-day average