Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Ayvens backtest
10 trend-following strategies were compared on the full daily history of Ayvens. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.3%, MDD -10.7%).
Results by strategy
6 of 10 beat buy and hold (CAGR -1.3%, drawdown -65.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.6%, MDD -36.1%, Sharpe 0.28, 43% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 29.5%p (CAGR -0.3%, MDD -10.7%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=71, exitN=28 |
3.6% | -36.1% | 0.28 | 0.10 | 1.4x | 17 | 43% |
| SMA 크로스오버 fast=34, slow=88 |
3.1% | -46.1% | 0.24 | 0.07 | 1.3x | 23 | 56% |
| EMA 크로스오버 fast=47, slow=266 |
1.2% | -43.2% | 0.16 | 0.03 | 1.1x | 13 | 47% |
| ROC 모멘텀 n=147, threshold=-0.02 |
0.8% | -50.5% | 0.15 | 0.02 | 1.1x | 73 | 57% |
| 볼린저 밴드 돌파 n=93, k=2.6 |
-1.1% | -44.3% | -0.01 | -0.03 | 0.9x | 16 | 21% |
| Supertrend period=17, mult=3.8 |
-3.2% | -53.6% | -0.01 | -0.06 | 0.7x | 47 | 56% |
| ADX / DI 방향성 period=25, threshold=31 |
-0.3% | -10.7% | -0.07 | -0.03 | 1.0x | 4 | 1% |
| MACD fast=24, slow=65, signal=30 |
-5.2% | -58.3% | -0.09 | -0.09 | 0.6x | 72 | 53% |
| Parabolic SAR step=0.01, maxStep=0.26 |
-9.3% | -66.3% | -0.27 | -0.14 | 0.4x | 123 | 56% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=19, mult=3.9 |
-3.4% | -41.4% | -0.28 | -0.08 | 0.7x | 16 | 11% |
| Buy and hold | -1.3% | -65.6% | 0.14 | -0.02 | 0.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 71 days
- Sell — Sell when price breaks below the lowest low of the last 28 days