Trend-Following Backtester · Guide · backtest 한국어
equity · CA
AGF Management Limited Class B backtest
10 trend-following strategies were compared on the full daily history of AGF Management Limited Class B. 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 5.4%, MDD -33.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR 5.0%, drawdown -93.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.2%, MDD -58.3%, Sharpe 0.52, 61% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 35.2%p (CAGR 5.4%, MDD -33.3%, exposure 20%).
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=14, exitN=22 |
10.2% | -58.3% | 0.52 | 0.18 | 19.1x | 172 | 61% |
| EMA 크로스오버 fast=17, slow=70 |
9.2% | -53.5% | 0.50 | 0.17 | 14.5x | 98 | 57% |
| Supertrend period=15, mult=3.9 |
9.3% | -54.8% | 0.50 | 0.17 | 14.7x | 128 | 57% |
| SMA 크로스오버 fast=9, slow=91 |
9.1% | -49.4% | 0.50 | 0.19 | 14.3x | 112 | 57% |
| MACD fast=20, slow=64, signal=21 |
9.0% | -64.4% | 0.49 | 0.14 | 13.9x | 244 | 50% |
| ADX / DI 방향성 period=38, threshold=10 |
8.2% | -49.6% | 0.49 | 0.17 | 11.1x | 246 | 44% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=11, mult=2.9 |
6.4% | -57.5% | 0.47 | 0.11 | 6.5x | 106 | 26% |
| Parabolic SAR step=0.015, maxStep=0.02 |
8.5% | -60.4% | 0.47 | 0.14 | 11.8x | 164 | 55% |
| 볼린저 밴드 돌파 n=22, k=2.6 |
5.4% | -33.3% | 0.45 | 0.16 | 5.0x | 138 | 20% |
| ROC 모멘텀 n=132, threshold=0.09 |
6.3% | -48.7% | 0.41 | 0.13 | 6.4x | 190 | 41% |
| Buy and hold | 5.0% | -93.5% | 0.32 | 0.05 | 4.5x | 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 14 days
- Sell — Sell when price breaks below the lowest low of the last 22 days