Trend-Following Backtester · Guide · backtest 한국어

equity · BE

KBC Ancora SCA backtest

10 trend-following strategies were compared on the full daily history of KBC Ancora SCA. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.8%, MDD -42.8%).

Data 2001-04-04 ~ 2026-07-31daily bars 6,504 (25.3 years)Costs 0.5%Venue EURONEXTMonthly snapshot 2026-07-31

Results by strategy

8 of 10 beat buy and hold (CAGR 5.5%, drawdown -97.1%).

Sharpe leader (same as main): Supertrend — CAGR 16.7%, MDD -48.3%, Sharpe 0.72, 56% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 11.2%p higher than buy and hold, while drawdown improves by 48.8%p (CAGR 7.8%, MDD -42.8%, exposure 35%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Supertrend
period=8, mult=3.6
16.7%-48.3%0.720.3550.2x15956%
SMA 크로스오버
fast=12, slow=181
14.7%-53.3%0.690.2832.4x4960%
EMA 크로스오버
fast=32, slow=111
14.0%-53.8%0.660.2627.5x3760%
Keltner 채널 돌파
emaPeriod=49, atrPeriod=14, mult=1.3
13.5%-45.6%0.660.3024.7x17550%
ROC 모멘텀
n=109, threshold=0.02
13.5%-62.1%0.630.2224.8x16957%
볼린저 밴드 돌파
n=48, k=2.8
8.8%-50.8%0.580.178.4x3819%
Donchian 채널 돌파
entryN=101, exitN=20
7.8%-42.8%0.560.186.7x7535%
ADX / DI 방향성
period=29, threshold=6
10.4%-57.3%0.530.1812.3x32352%
Parabolic SAR
step=0.005, maxStep=0.36
3.0%-83.1%0.240.042.1x21357%
MACD
fast=16, slow=59, signal=9
-1.2%-95.8%0.11-0.010.7x36951%
Buy and hold5.5%-97.1%0.340.063.9x1100%
1x 10x 2002 2006 2010 2014 2018 2022 2026 SupertrendBuy and hold
Supertrend: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -24% -49% -73% -97% 2002 2006 2010 2014 2018 2022 2026 Buy and holdSupertrend
Supertrend maximum drawdown -48.3% (2009-10-12 → 2012-01-09), recovered after 1,068 days.

Rules of the top strategy

Trades the direction of a volatility-based trend line that trails below/above price.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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