Trend-Following Backtester · Guide · backtest 한국어
equity · DE
ATOSS Software SE backtest
10 trend-following strategies were compared on the full daily history of ATOSS Software SE. 0 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 15.6%, MDD -68.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 17.1%, drawdown -91.7%).
Sharpe leader (same as main): Parabolic SAR — CAGR 8.7%, MDD -56.6%, Sharpe 0.42, 52% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 15.6%, MDD -68.5%, exposure 72%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 8.4%p lower than buy and hold, while drawdown improves by 35.0%p (CAGR 15.6%, MDD -68.5%, exposure 72%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.01, maxStep=0.36 |
8.7% | -56.6% | 0.42 | 0.15 | 9.6x | 275 | 52% |
| EMA 크로스오버 fast=32, slow=218 |
6.5% | -87.3% | 0.36 | 0.07 | 5.6x | 32 | 63% |
| SMA 크로스오버 fast=58, slow=144 |
6.6% | -76.7% | 0.36 | 0.09 | 5.7x | 50 | 63% |
| 볼린저 밴드 돌파 n=18, k=2.3 |
5.0% | -56.3% | 0.32 | 0.09 | 3.8x | 215 | 25% |
| ROC 모멘텀 n=138, threshold=0.02 |
5.1% | -67.1% | 0.31 | 0.08 | 3.9x | 260 | 59% |
| Donchian 채널 돌파 entryN=45, exitN=75 |
15.6% | -68.5% | 0.28 | 0.23 | 51.2x | 45 | 72% |
| Supertrend period=35, mult=4.7 |
12.2% | -63.4% | 0.25 | 0.19 | 22.8x | 105 | 57% |
| ADX / DI 방향성 period=30, threshold=13 |
9.3% | -70.1% | 0.23 | 0.13 | 11.3x | 232 | 37% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=13, mult=1.7 |
8.8% | -63.0% | 0.22 | 0.14 | 9.8x | 217 | 38% |
| MACD fast=18, slow=32, signal=12 |
1.5% | -81.9% | 0.20 | 0.02 | 1.5x | 417 | 49% |
| Buy and hold | 17.1% | -91.7% | 0.32 | 0.19 | 72.9x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots