Trend-Following Backtester · Guide · backtest 한국어
equity · BE
ageas SA/NV backtest
10 trend-following strategies were compared on the full daily history of ageas SA/NV. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.4%, MDD -5.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR -4.6%, drawdown -98.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.5%, MDD -52.3%, Sharpe 0.48, 58% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 12.1%p higher than buy and hold, while drawdown improves by 45.7%p (CAGR 0.4%, MDD -5.6%, exposure 1%).
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=21, slow=157 |
7.5% | -52.3% | 0.48 | 0.14 | 6.1x | 45 | 58% |
| EMA 크로스오버 fast=54, slow=216 |
5.8% | -49.5% | 0.46 | 0.12 | 4.1x | 23 | 53% |
| Donchian 채널 돌파 entryN=67, exitN=79 |
6.5% | -50.1% | 0.43 | 0.13 | 4.9x | 33 | 59% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=21, mult=1.9 |
3.7% | -27.9% | 0.30 | 0.13 | 2.5x | 115 | 44% |
| Supertrend period=28, mult=4.6 |
4.0% | -61.7% | 0.29 | 0.06 | 2.7x | 81 | 57% |
| ROC 모멘텀 n=146, threshold=-0.02 |
3.5% | -64.5% | 0.28 | 0.05 | 2.4x | 173 | 61% |
| 볼린저 밴드 돌파 n=54, k=3.3 |
1.5% | -16.0% | 0.25 | 0.09 | 1.4x | 14 | 7% |
| ADX / DI 방향성 period=28, threshold=38 |
0.4% | -5.6% | 0.24 | 0.08 | 1.1x | 2 | 1% |
| MACD fast=12, slow=31, signal=17 |
-4.8% | -82.9% | -0.06 | -0.06 | 0.3x | 366 | 51% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-4.4% | -78.9% | -0.07 | -0.06 | 0.3x | 227 | 54% |
| Buy and hold | -4.6% | -98.1% | 0.14 | -0.05 | 0.3x | 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 21-day average price crosses above the 157-day average
- Sell — Sell (to cash) when the 21-day average falls below the 157-day average