Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Altus Group Limited backtest
10 trend-following strategies were compared on the full daily history of Altus Group Limited. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.9%, MDD -40.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR 6.0%, drawdown -83.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.9%, MDD -59.7%, Sharpe 0.58, 57% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 11.1%, MDD -45.1%, exposure 55%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.0%p higher than buy and hold, while drawdown improves by 23.2%p (CAGR 7.9%, MDD -40.8%, exposure 38%).
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=45, slow=177 |
10.9% | -59.7% | 0.58 | 0.18 | 6.5x | 28 | 57% |
| EMA 크로스오버 fast=21, slow=36 |
11.1% | -45.1% | 0.58 | 0.25 | 6.8x | 91 | 55% |
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=25, mult=1.9 |
9.2% | -54.2% | 0.56 | 0.17 | 4.9x | 74 | 42% |
| Supertrend period=14, mult=3.6 |
10.3% | -47.9% | 0.55 | 0.21 | 5.9x | 85 | 54% |
| 볼린저 밴드 돌파 n=53, k=1.8 |
7.9% | -40.8% | 0.51 | 0.19 | 4.0x | 76 | 38% |
| Donchian 채널 돌파 entryN=68, exitN=28 |
7.6% | -48.8% | 0.50 | 0.16 | 3.8x | 45 | 35% |
| ROC 모멘텀 n=139, threshold=0.13 |
7.0% | -41.3% | 0.48 | 0.17 | 3.4x | 120 | 37% |
| MACD fast=14, slow=40, signal=12 |
4.9% | -55.0% | 0.32 | 0.09 | 2.4x | 234 | 50% |
| ADX / DI 방향성 period=37, threshold=13 |
4.1% | -66.4% | 0.31 | 0.06 | 2.1x | 138 | 39% |
| Parabolic SAR step=0.015, maxStep=0.22 |
4.6% | -71.6% | 0.31 | 0.06 | 2.3x | 284 | 55% |
| Buy and hold | 6.0% | -83.0% | 0.34 | 0.07 | 2.9x | 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 45-day average price crosses above the 177-day average
- Sell — Sell (to cash) when the 45-day average falls below the 177-day average