Trend-Following Backtester · Guide · backtest 한국어

equity · PT

Altri, SGPS, S.A. backtest

10 trend-following strategies were compared on the full daily history of Altri, SGPS, S.A.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 14.1%, MDD -23.6%).

Data 2000-01-03 ~ 2026-07-31daily bars 6,836 (26.6 years)Costs 0.5%Venue EURONEXTMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR 0.1%, drawdown -98.7%).

Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 18.4%, MDD -26.4%, Sharpe 1.03, 30% exposure.

CAGR reference leader: Parabolic SAR — CAGR 22.1%, MDD -53.2%, exposure 49%.

Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 18.3%p higher than buy and hold, while drawdown improves by 72.2%p (CAGR 14.1%, MDD -23.6%, exposure 18%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Keltner 채널 돌파
emaPeriod=52, atrPeriod=16, mult=3.3
18.4%-26.4%1.030.7088.9x6030%
볼린저 밴드 돌파
n=31, k=3
14.1%-23.6%1.010.6033.6x6018%
Donchian 채널 돌파
entryN=52, exitN=16
17.3%-48.1%0.960.3670.2x9234%
Parabolic SAR
step=0.005, maxStep=0.08
22.1%-53.2%0.930.42203.0x18649%
ADX / DI 방향성
period=11, threshold=26
18.1%-44.7%0.900.4183.4x28630%
Supertrend
period=10, mult=5
21.6%-41.9%0.880.52182.1x7456%
ROC 모멘텀
n=15, threshold=0.06
14.2%-42.4%0.760.3333.7x48024%
EMA 크로스오버
fast=8, slow=19
17.1%-59.4%0.750.2967.0x29653%
MACD
fast=19, slow=35, signal=20
15.1%-53.6%0.740.2841.9x26550%
SMA 크로스오버
fast=15, slow=187
7.4%-85.6%0.460.096.6x5452%
Buy and hold0.1%-98.7%0.350.001.0x1100%
0.1 1x 10x 100x 2001 2005 2009 2013 2017 2021 2025 Parabolic SARKeltner 채널 돌파Buy and hold
Keltner 채널 돌파 (Sharpe leader), Parabolic SAR (CAGR reference), Buy and hold.
0% -25% -49% -74% -99% 2001 2005 2009 2013 2017 2021 2025 Buy and holdParabolic SARKeltner 채널 돌파
Keltner 채널 돌파 maximum drawdown -26.4% (2022-06-20 → 2025-01-10), prior peak not yet recovered.

Rules of the top strategy

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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