Trend-Following Backtester · Guide · backtest 한국어
equity · US
Affiliated Managers Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Affiliated Managers Group, Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.4%, MDD -37.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 11.1%, drawdown -85.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.4%, MDD -37.2%, Sharpe 0.56, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 48.7%p (CAGR 11.4%, MDD -37.2%, 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=40, slow=186 |
11.4% | -37.2% | 0.56 | 0.30 | 21.9x | 37 | 60% |
| ROC 모멘텀 n=149, threshold=-0.03 |
11.3% | -42.1% | 0.54 | 0.27 | 21.5x | 139 | 67% |
| EMA 크로스오버 fast=48, slow=190 |
11.0% | -40.3% | 0.54 | 0.27 | 20.1x | 29 | 64% |
| Supertrend period=17, mult=3.5 |
8.1% | -61.3% | 0.42 | 0.13 | 9.2x | 170 | 58% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=12, mult=3 |
6.1% | -45.3% | 0.42 | 0.14 | 5.5x | 105 | 35% |
| Donchian 채널 돌파 entryN=17, exitN=31 |
6.0% | -74.0% | 0.35 | 0.08 | 5.4x | 147 | 68% |
| 볼린저 밴드 돌파 n=56, k=1.8 |
4.8% | -53.5% | 0.33 | 0.09 | 3.8x | 121 | 41% |
| ADX / DI 방향성 period=29, threshold=21 |
3.5% | -33.5% | 0.32 | 0.11 | 2.7x | 84 | 17% |
| MACD fast=18, slow=37, signal=18 |
3.9% | -83.1% | 0.28 | 0.05 | 3.0x | 332 | 49% |
| Parabolic SAR step=0.01, maxStep=0.14 |
3.4% | -80.3% | 0.26 | 0.04 | 2.6x | 384 | 56% |
| Buy and hold | 11.1% | -85.9% | 0.46 | 0.13 | 20.7x | 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 40-day average price crosses above the 186-day average
- Sell — Sell (to cash) when the 40-day average falls below the 186-day average