Trend-Following Backtester · Guide · backtest 한국어
equity · BE
Aedifica SA backtest
10 trend-following strategies were compared on the full daily history of Aedifica SA. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 4.1%, drawdown -63.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.8%, MDD -56.7%, Sharpe 0.37, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=3, threshold=-0.07 |
5.8% | -56.7% | 0.37 | 0.10 | 3.1x | 39 | 99% |
| SMA 크로스오버 fast=33, slow=303 |
4.1% | -51.0% | 0.31 | 0.08 | 2.2x | 23 | 65% |
| Donchian 채널 돌파 entryN=114, exitN=48 |
2.7% | -27.7% | 0.28 | 0.10 | 1.7x | 28 | 37% |
| EMA 크로스오버 fast=35, slow=269 |
2.9% | -54.5% | 0.25 | 0.05 | 1.8x | 23 | 66% |
| Supertrend period=23, mult=2.9 |
2.5% | -29.6% | 0.23 | 0.08 | 1.6x | 109 | 61% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=23, mult=3 |
0.6% | -16.7% | 0.14 | 0.03 | 1.1x | 22 | 5% |
| ADX / DI 방향성 period=29, threshold=34 |
0.4% | -6.9% | 0.14 | 0.06 | 1.1x | 8 | 2% |
| MACD fast=28, slow=53, signal=16 |
0.8% | -39.4% | 0.13 | 0.02 | 1.2x | 173 | 52% |
| Parabolic SAR step=0.005, maxStep=0.26 |
0.8% | -37.2% | 0.13 | 0.02 | 1.2x | 167 | 56% |
| 볼린저 밴드 돌파 n=48, k=3.4 |
0.3% | -16.0% | 0.07 | 0.02 | 1.1x | 20 | 8% |
| Buy and hold | 4.1% | -63.0% | 0.29 | 0.07 | 2.2x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 3-day return is greater than -7%
- Sell — Sell when the 3-day return drops to -7% or below