Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Adecco Group AG backtest
10 trend-following strategies were compared on the full daily history of Adecco Group AG. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.1%, MDD -8.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR -4.2%, drawdown -90.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.1%, MDD -13.4%, Sharpe 0.28, 2% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 2.1%, MDD -52.7%, exposure 46%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 76.7%p (CAGR 0.1%, MDD -8.9%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=15, mult=3.7 |
1.1% | -13.4% | 0.28 | 0.08 | 1.3x | 10 | 2% |
| 볼린저 밴드 돌파 n=34, k=3 |
1.7% | -28.9% | 0.23 | 0.06 | 1.6x | 30 | 7% |
| SMA 크로스오버 fast=17, slow=129 |
2.1% | -52.7% | 0.21 | 0.04 | 1.8x | 71 | 46% |
| EMA 크로스오버 fast=55, slow=71 |
1.4% | -51.9% | 0.18 | 0.03 | 1.5x | 55 | 47% |
| Supertrend period=5, mult=3.1 |
0.5% | -59.1% | 0.14 | 0.01 | 1.2x | 187 | 48% |
| Donchian 채널 돌파 entryN=38, exitN=71 |
-0.4% | -72.1% | 0.11 | -0.01 | 0.9x | 63 | 62% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-0.7% | -70.0% | 0.09 | -0.01 | 0.8x | 217 | 48% |
| ADX / DI 방향성 period=20, threshold=36 |
0.1% | -8.9% | 0.05 | 0.01 | 1.0x | 10 | 1% |
| ROC 모멘텀 n=130, threshold=-0.01 |
-1.3% | -59.6% | 0.04 | -0.02 | 0.7x | 187 | 48% |
| MACD fast=19, slow=58, signal=19 |
-6.4% | -92.5% | -0.15 | -0.07 | 0.2x | 294 | 51% |
| Buy and hold | -4.2% | -90.1% | 0.06 | -0.05 | 0.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 15-day average + 3.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 15-day average