Trend-Following Backtester · Guide · backtest 한국어
equity · US
AllianceBernstein Holding L.P. backtest
10 trend-following strategies were compared on the full daily history of AllianceBernstein Holding L.P.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.6%, MDD -49.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.2%, drawdown -89.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.6%, MDD -49.5%, Sharpe 0.40, 60% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.6%, MDD -56.8%, exposure 66%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 39.5%p (CAGR 6.6%, MDD -49.5%, exposure 60%).
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=11, slow=120 |
6.6% | -49.5% | 0.40 | 0.13 | 11.5x | 118 | 60% |
| EMA 크로스오버 fast=34, slow=65 |
6.5% | -54.0% | 0.40 | 0.12 | 11.3x | 102 | 60% |
| Donchian 채널 돌파 entryN=37, exitN=58 |
6.6% | -56.8% | 0.39 | 0.12 | 11.8x | 82 | 66% |
| ROC 모멘텀 n=133, threshold=-0.06 |
6.2% | -59.4% | 0.37 | 0.10 | 10.1x | 256 | 73% |
| Supertrend period=24, mult=4 |
5.2% | -56.8% | 0.34 | 0.09 | 7.0x | 159 | 59% |
| 볼린저 밴드 돌파 n=48, k=2.5 |
3.9% | -39.0% | 0.34 | 0.10 | 4.4x | 108 | 27% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=21, mult=4 |
2.8% | -32.8% | 0.28 | 0.08 | 2.8x | 72 | 20% |
| ADX / DI 방향성 period=40, threshold=18 |
1.7% | -51.2% | 0.21 | 0.03 | 1.9x | 84 | 13% |
| Parabolic SAR step=0.015, maxStep=0.38 |
0.3% | -73.0% | 0.13 | 0.00 | 1.1x | 638 | 53% |
| MACD fast=11, slow=47, signal=8 |
-4.9% | -87.1% | -0.10 | -0.06 | 0.1x | 742 | 50% |
| Buy and hold | 7.2% | -89.1% | 0.37 | 0.08 | 14.5x | 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 11-day average price crosses above the 120-day average
- Sell — Sell (to cash) when the 11-day average falls below the 120-day average