Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Atlas Arteria backtest
10 trend-following strategies were compared on the full daily history of Atlas Arteria. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 14.2%, drawdown -49.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.3%, MDD -39.2%, Sharpe 0.47, 68% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=57, exitN=95 |
8.3% | -39.2% | 0.47 | 0.21 | 3.7x | 19 | 68% |
| Supertrend period=17, mult=5 |
7.7% | -52.5% | 0.44 | 0.15 | 3.4x | 37 | 67% |
| EMA 크로스오버 fast=53, slow=87 |
6.5% | -42.7% | 0.40 | 0.15 | 2.8x | 35 | 61% |
| SMA 크로스오버 fast=18, slow=95 |
5.9% | -60.5% | 0.38 | 0.10 | 2.6x | 63 | 59% |
| ADX / DI 방향성 period=39, threshold=18 |
3.0% | -21.4% | 0.34 | 0.14 | 1.6x | 23 | 13% |
| ROC 모멘텀 n=86, threshold=0.02 |
4.2% | -60.3% | 0.30 | 0.07 | 2.0x | 185 | 54% |
| 볼린저 밴드 돌파 n=67, k=3.2 |
1.8% | -21.4% | 0.23 | 0.08 | 1.3x | 12 | 11% |
| Parabolic SAR step=0.005, maxStep=0.14 |
2.6% | -59.0% | 0.23 | 0.04 | 1.5x | 127 | 57% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=15, mult=1.1 |
1.0% | -50.8% | 0.14 | 0.02 | 1.2x | 137 | 45% |
| MACD fast=19, slow=32, signal=15 |
-4.6% | -81.9% | -0.14 | -0.06 | 0.5x | 248 | 48% |
| Buy and hold | 14.2% | -49.1% | 0.59 | 0.29 | 8.9x | 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 57 days
- Sell — Sell when price breaks below the lowest low of the last 95 days