Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Azzas 2154 SA backtest
10 trend-following strategies were compared on the full daily history of Azzas 2154 SA. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.9%, MDD -14.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR -1.7%, drawdown -84.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.9%, MDD -17.2%, Sharpe 0.43, 13% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 7.1%, MDD -43.5%, exposure 47%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.6%p higher than buy and hold, while drawdown improves by 67.7%p (CAGR 2.9%, MDD -14.0%, exposure 5%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=17, threshold=31 |
4.9% | -17.2% | 0.43 | 0.29 | 2.1x | 32 | 13% |
| 볼린저 밴드 돌파 n=27, k=3.5 |
2.9% | -14.0% | 0.42 | 0.21 | 1.6x | 10 | 5% |
| EMA 크로스오버 fast=18, slow=72 |
7.1% | -43.5% | 0.40 | 0.16 | 2.9x | 40 | 47% |
| Supertrend period=15, mult=5 |
7.0% | -40.8% | 0.40 | 0.17 | 2.8x | 32 | 46% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=25, mult=3.5 |
2.5% | -18.9% | 0.27 | 0.13 | 1.5x | 16 | 7% |
| Donchian 채널 돌파 entryN=35, exitN=44 |
2.7% | -51.4% | 0.23 | 0.05 | 1.5x | 42 | 51% |
| SMA 크로스오버 fast=20, slow=78 |
2.6% | -59.1% | 0.23 | 0.04 | 1.5x | 48 | 48% |
| ROC 모멘텀 n=153, threshold=0.06 |
-0.1% | -59.1% | 0.11 | -0.00 | 1.0x | 90 | 40% |
| MACD fast=17, slow=55, signal=18 |
-0.9% | -74.0% | 0.11 | -0.01 | 0.9x | 158 | 50% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-9.3% | -84.0% | -0.22 | -0.11 | 0.2x | 214 | 52% |
| Buy and hold | -1.7% | -84.8% | 0.16 | -0.02 | 0.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 17-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)