Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Anima Holding SA backtest
10 trend-following strategies were compared on the full daily history of Anima Holding SA. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 11.6%, MDD -36.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -8.1%, drawdown -89.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.5%, MDD -37.5%, Sharpe 0.62, 39% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 23.6%p higher than buy and hold, while drawdown improves by 51.9%p (CAGR 11.6%, MDD -36.1%, exposure 23%).
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=47, exitN=26 |
15.5% | -37.5% | 0.62 | 0.41 | 6.3x | 34 | 39% |
| 볼린저 밴드 돌파 n=33, k=2.6 |
11.6% | -36.1% | 0.58 | 0.32 | 4.1x | 44 | 23% |
| MACD fast=14, slow=42, signal=18 |
13.7% | -66.9% | 0.52 | 0.20 | 5.1x | 135 | 51% |
| Supertrend period=18, mult=4.9 |
11.1% | -68.0% | 0.48 | 0.16 | 3.8x | 32 | 53% |
| ADX / DI 방향성 period=25, threshold=12 |
8.4% | -51.7% | 0.41 | 0.16 | 2.8x | 134 | 45% |
| SMA 크로스오버 fast=13, slow=42 |
8.3% | -57.2% | 0.40 | 0.14 | 2.8x | 78 | 48% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=15, mult=2.6 |
6.6% | -52.6% | 0.37 | 0.13 | 2.3x | 44 | 29% |
| ROC 모멘텀 n=18, threshold=0.11 |
5.9% | -58.8% | 0.35 | 0.10 | 2.1x | 214 | 23% |
| EMA 크로스오버 fast=9, slow=86 |
3.1% | -65.5% | 0.26 | 0.05 | 1.5x | 50 | 51% |
| Parabolic SAR step=0.01, maxStep=0.36 |
2.0% | -61.1% | 0.25 | 0.03 | 1.3x | 170 | 52% |
| Buy and hold | -8.1% | -89.4% | 0.14 | -0.09 | 0.3x | 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 47 days
- Sell — Sell when price breaks below the lowest low of the last 26 days