Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Atkinsrealis Group Inc. backtest
10 trend-following strategies were compared on the full daily history of Atkinsrealis Group Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 7.4%, MDD -51.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.5%, drawdown -75.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.3%, MDD -60.1%, Sharpe 0.47, 62% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 15.0%p (CAGR 7.4%, MDD -51.5%, exposure 59%).
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=20, slow=234 |
8.3% | -60.1% | 0.47 | 0.14 | 6.8x | 36 | 62% |
| Supertrend period=20, mult=4.8 |
7.4% | -51.5% | 0.44 | 0.14 | 5.6x | 70 | 59% |
| EMA 크로스오버 fast=26, slow=206 |
7.2% | -68.9% | 0.42 | 0.10 | 5.3x | 38 | 64% |
| ROC 모멘텀 n=181, threshold=0.04 |
6.9% | -57.9% | 0.42 | 0.12 | 5.0x | 144 | 58% |
| Donchian 채널 돌파 entryN=23, exitN=33 |
6.0% | -52.4% | 0.36 | 0.11 | 4.0x | 97 | 64% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=23, mult=3.7 |
3.5% | -35.0% | 0.31 | 0.10 | 2.3x | 64 | 25% |
| 볼린저 밴드 돌파 n=38, k=2.1 |
3.4% | -34.6% | 0.29 | 0.10 | 2.2x | 114 | 33% |
| MACD fast=19, slow=47, signal=19 |
-1.8% | -78.9% | 0.04 | -0.02 | 0.6x | 254 | 51% |
| ADX / DI 방향성 period=36, threshold=16 |
-0.6% | -45.8% | 0.02 | -0.01 | 0.9x | 100 | 21% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-3.0% | -78.7% | -0.01 | -0.04 | 0.5x | 408 | 52% |
| Buy and hold | 8.5% | -75.0% | 0.41 | 0.11 | 7.1x | 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 20-day average price crosses above the 234-day average
- Sell — Sell (to cash) when the 20-day average falls below the 234-day average