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. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.9%, MDD -49.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR 6.3%, drawdown -93.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.9%, MDD -49.4%, Sharpe 0.53, 57% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 10.1%, MDD -54.7%, exposure 61%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 44.1%p (CAGR 9.9%, MDD -49.4%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=9, slow=91 |
9.9% | -49.4% | 0.53 | 0.20 | 17.3x | 111 | 57% |
| EMA 크로스오버 fast=59, slow=75 |
9.7% | -58.6% | 0.52 | 0.17 | 16.3x | 53 | 58% |
| Donchian 채널 돌파 entryN=20, exitN=29 |
10.1% | -54.7% | 0.51 | 0.19 | 18.6x | 135 | 61% |
| Supertrend period=14, mult=4.2 |
9.4% | -61.6% | 0.51 | 0.15 | 15.3x | 115 | 56% |
| MACD fast=22, slow=66, signal=18 |
8.9% | -65.3% | 0.48 | 0.14 | 13.1x | 243 | 50% |
| ROC 모멘텀 n=110, threshold=0.02 |
7.8% | -54.2% | 0.46 | 0.14 | 9.8x | 231 | 52% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=22, mult=2.5 |
6.2% | -48.6% | 0.44 | 0.13 | 6.1x | 133 | 31% |
| Parabolic SAR step=0.005, maxStep=0.36 |
7.9% | -75.8% | 0.44 | 0.10 | 9.8x | 233 | 53% |
| 볼린저 밴드 돌파 n=27, k=2.8 |
4.6% | -39.3% | 0.41 | 0.12 | 3.8x | 95 | 17% |
| ADX / DI 방향성 period=21, threshold=16 |
5.7% | -66.3% | 0.39 | 0.09 | 5.4x | 275 | 38% |
| Buy and hold | 6.3% | -93.5% | 0.35 | 0.07 | 6.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 9-day average price crosses above the 91-day average
- Sell — Sell (to cash) when the 9-day average falls below the 91-day average