Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Attendo AB backtest
10 trend-following strategies were compared on the full daily history of Attendo AB. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.1%, MDD -15.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 4.3%, drawdown -82.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.5%, MDD -27.3%, Sharpe 0.71, 42% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.2%p higher than buy and hold, while drawdown improves by 55.5%p (CAGR 7.1%, MDD -15.3%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=100, exitN=42 |
12.5% | -27.3% | 0.71 | 0.46 | 3.5x | 9 | 42% |
| 볼린저 밴드 돌파 n=19, k=2.8 |
7.1% | -15.3% | 0.61 | 0.47 | 2.1x | 34 | 12% |
| SMA 크로스오버 fast=9, slow=109 |
11.4% | -45.1% | 0.60 | 0.25 | 3.2x | 25 | 55% |
| EMA 크로스오버 fast=26, slow=62 |
10.0% | -55.4% | 0.54 | 0.18 | 2.8x | 25 | 56% |
| ROC 모멘텀 n=79, threshold=-0.04 |
9.3% | -57.7% | 0.48 | 0.16 | 2.6x | 79 | 61% |
| Supertrend period=29, mult=3 |
2.4% | -48.7% | 0.22 | 0.05 | 1.3x | 64 | 52% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=28, mult=3.2 |
0.9% | -19.5% | 0.14 | 0.04 | 1.1x | 20 | 9% |
| ADX / DI 방향성 period=26, threshold=36 |
0.2% | -3.2% | 0.09 | 0.05 | 1.0x | 4 | 1% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-1.2% | -63.8% | 0.05 | -0.02 | 0.9x | 90 | 49% |
| MACD fast=15, slow=18, signal=18 |
-8.3% | -82.8% | -0.23 | -0.10 | 0.4x | 166 | 49% |
| Buy and hold | 4.3% | -82.8% | 0.29 | 0.05 | 1.6x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 100 days
- Sell — Sell when price breaks below the lowest low of the last 42 days