Trend-Following Backtester · Guide · backtest 한국어
equity · BE
Azelis Group N.V. backtest
10 trend-following strategies were compared on the full daily history of Azelis Group N.V.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 1.6%, MDD -1.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -15.4%, drawdown -75.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 1.6%, MDD -1.0%, Sharpe 0.72, 1% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 3.9%, MDD -46.7%, exposure 25%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 17.1%p higher than buy and hold, while drawdown improves by 74.5%p (CAGR 1.6%, MDD -1.0%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=12, threshold=0.27 |
1.6% | -1.0% | 0.72 | 1.63 | 1.1x | 4 | 1% |
| 볼린저 밴드 돌파 n=21, k=3.5 |
2.5% | -5.2% | 0.54 | 0.48 | 1.1x | 2 | 3% |
| ADX / DI 방향성 period=13, threshold=38 |
2.6% | -7.4% | 0.42 | 0.36 | 1.1x | 10 | 6% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=26, mult=1.1 |
3.9% | -46.7% | 0.30 | 0.08 | 1.2x | 56 | 25% |
| Donchian 채널 돌파 entryN=17, exitN=4 |
2.8% | -33.0% | 0.25 | 0.08 | 1.1x | 44 | 23% |
| Supertrend period=20, mult=2.6 |
1.1% | -41.7% | 0.16 | 0.03 | 1.1x | 40 | 38% |
| SMA 크로스오버 fast=28, slow=62 |
-1.2% | -27.7% | 0.03 | -0.04 | 0.9x | 19 | 33% |
| MACD fast=12, slow=64, signal=24 |
-2.7% | -55.7% | 0.01 | -0.05 | 0.9x | 44 | 45% |
| Parabolic SAR step=0.035, maxStep=0.16 |
-8.2% | -66.9% | -0.21 | -0.12 | 0.6x | 139 | 47% |
| EMA 크로스오버 fast=34, slow=135 |
-5.6% | -51.5% | -0.25 | -0.11 | 0.7x | 11 | 28% |
| Buy and hold | -15.4% | -75.5% | -0.29 | -0.20 | 0.4x | 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 12-day return is greater than 27%
- Sell — Sell when the 12-day return drops to 27% or below