Trend-Following Backtester · Guide · backtest 한국어
equity · DK
Trifork Group AG backtest
10 trend-following strategies were compared on the full daily history of Trifork Group AG. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.5%, MDD -14.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -11.7%, drawdown -76.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.9%, MDD -22.3%, Sharpe 0.51, 15% exposure.
CAGR reference leader: Supertrend — CAGR 9.0%, MDD -24.3%, exposure 42%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 19.6%p higher than buy and hold, while drawdown improves by 54.6%p (CAGR 1.5%, MDD -14.9%, exposure 5%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=47, k=2.7 |
7.9% | -22.3% | 0.51 | 0.35 | 1.5x | 8 | 15% |
| Supertrend period=13, mult=2.6 |
9.0% | -24.3% | 0.47 | 0.37 | 1.6x | 28 | 42% |
| Donchian 채널 돌파 entryN=60, exitN=19 |
7.1% | -22.1% | 0.45 | 0.32 | 1.4x | 10 | 21% |
| SMA 크로스오버 fast=48, slow=69 |
3.3% | -40.7% | 0.26 | 0.08 | 1.2x | 17 | 41% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=20, mult=2.9 |
1.8% | -21.6% | 0.21 | 0.08 | 1.1x | 12 | 9% |
| ADX / DI 방향성 period=13, threshold=39 |
1.5% | -14.9% | 0.20 | 0.10 | 1.1x | 14 | 5% |
| EMA 크로스오버 fast=23, slow=26 |
1.7% | -49.6% | 0.19 | 0.03 | 1.1x | 22 | 38% |
| ROC 모멘텀 n=66, threshold=0 |
-1.1% | -46.6% | 0.07 | -0.02 | 0.9x | 53 | 38% |
| Parabolic SAR step=0.005, maxStep=0.06 |
-2.8% | -52.1% | 0.01 | -0.05 | 0.9x | 36 | 42% |
| MACD fast=12, slow=38, signal=14 |
-7.5% | -56.9% | -0.17 | -0.13 | 0.7x | 70 | 48% |
| Buy and hold | -11.7% | -76.9% | -0.15 | -0.15 | 0.5x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 47-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 47-day middle average