Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Avolta AG backtest
10 trend-following strategies were compared on the full daily history of Avolta AG. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.8%, MDD -23.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.7%, drawdown -88.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.8%, MDD -23.0%, Sharpe 0.43, 8% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 5.5%, MDD -57.6%, exposure 51%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 65.3%p (CAGR 4.8%, MDD -23.0%, exposure 8%).
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=28, atrPeriod=8, mult=4 |
4.8% | -23.0% | 0.43 | 0.21 | 2.6x | 20 | 8% |
| 볼린저 밴드 돌파 n=40, k=2.9 |
5.0% | -31.5% | 0.38 | 0.16 | 2.8x | 44 | 16% |
| SMA 크로스오버 fast=42, slow=256 |
5.5% | -57.6% | 0.35 | 0.10 | 3.0x | 24 | 51% |
| Donchian 채널 돌파 entryN=70, exitN=38 |
5.1% | -50.8% | 0.34 | 0.10 | 2.8x | 44 | 35% |
| EMA 크로스오버 fast=57, slow=146 |
5.0% | -53.0% | 0.33 | 0.09 | 2.7x | 24 | 52% |
| ROC 모멘텀 n=121, threshold=-0.03 |
5.2% | -60.0% | 0.33 | 0.09 | 2.9x | 174 | 57% |
| ADX / DI 방향성 period=13, threshold=32 |
2.5% | -35.8% | 0.27 | 0.07 | 1.7x | 80 | 11% |
| MACD fast=18, slow=32, signal=15 |
2.8% | -68.6% | 0.24 | 0.04 | 1.8x | 255 | 50% |
| Supertrend period=31, mult=3.2 |
0.4% | -79.8% | 0.15 | 0.00 | 1.1x | 130 | 54% |
| Parabolic SAR step=0.045, maxStep=0.22 |
-6.1% | -87.7% | -0.09 | -0.07 | 0.3x | 673 | 51% |
| Buy and hold | -2.7% | -88.3% | 0.15 | -0.03 | 0.6x | 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 28-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 28-day average