Trend-Following Backtester · Guide · backtest 한국어
equity · US
The AES Corporation backtest
10 trend-following strategies were compared on the full daily history of The AES Corporation. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.6%, MDD -47.8%).
Results by strategy
6 of 10 beat buy and hold (CAGR 4.4%, drawdown -98.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.2%, MDD -53.8%, Sharpe 0.55, 49% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 6.9%p higher than buy and hold, while drawdown improves by 44.9%p (CAGR 9.6%, MDD -47.8%, exposure 57%).
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=115, exitN=69 |
11.2% | -53.8% | 0.55 | 0.21 | 41.9x | 39 | 49% |
| Supertrend period=28, mult=4.5 |
11.1% | -54.6% | 0.52 | 0.20 | 39.9x | 108 | 54% |
| SMA 크로스오버 fast=43, slow=112 |
10.7% | -54.5% | 0.51 | 0.20 | 35.0x | 79 | 56% |
| EMA 크로스오버 fast=13, slow=79 |
9.6% | -47.8% | 0.47 | 0.20 | 24.9x | 127 | 57% |
| ROC 모멘텀 n=111, threshold=-0.01 |
7.1% | -70.8% | 0.39 | 0.10 | 11.2x | 306 | 61% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=26, mult=2 |
5.5% | -65.5% | 0.35 | 0.08 | 6.6x | 173 | 39% |
| 볼린저 밴드 돌파 n=54, k=3.5 |
3.0% | -36.1% | 0.30 | 0.08 | 2.8x | 24 | 9% |
| Parabolic SAR step=0.01, maxStep=0.38 |
3.3% | -80.4% | 0.26 | 0.04 | 3.1x | 457 | 53% |
| ADX / DI 방향성 period=35, threshold=24 |
2.0% | -33.6% | 0.24 | 0.06 | 2.0x | 42 | 7% |
| MACD fast=15, slow=24, signal=17 |
1.8% | -81.4% | 0.22 | 0.02 | 1.9x | 503 | 51% |
| Buy and hold | 4.4% | -98.7% | 0.33 | 0.04 | 4.5x | 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 115 days
- Sell — Sell when price breaks below the lowest low of the last 69 days