Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Airtel Africa Plc backtest
10 trend-following strategies were compared on the full daily history of Airtel Africa Plc. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 21.9%, MDD -25.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 24.8%, drawdown -65.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 29.9%, MDD -43.7%, Sharpe 0.92, 84% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 5.1%p higher than buy and hold, while drawdown improves by 22.1%p (CAGR 21.9%, MDD -25.7%, exposure 44%).
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=10, exitN=51 |
29.9% | -43.7% | 0.92 | 0.68 | 6.5x | 19 | 84% |
| ROC 모멘텀 n=145, threshold=0.12 |
21.9% | -25.7% | 0.85 | 0.85 | 4.1x | 28 | 44% |
| ADX / DI 방향성 period=29, threshold=17 |
16.6% | -26.5% | 0.80 | 0.63 | 3.0x | 40 | 30% |
| SMA 크로스오버 fast=57, slow=185 |
23.1% | -54.9% | 0.79 | 0.42 | 4.4x | 12 | 63% |
| EMA 크로스오버 fast=55, slow=180 |
18.1% | -57.8% | 0.69 | 0.31 | 3.3x | 9 | 61% |
| Supertrend period=28, mult=3.2 |
15.8% | -41.6% | 0.61 | 0.38 | 2.9x | 40 | 58% |
| MACD fast=7, slow=13, signal=11 |
15.4% | -41.6% | 0.59 | 0.37 | 2.8x | 169 | 52% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=11, mult=4 |
2.9% | -6.9% | 0.53 | 0.42 | 1.2x | 4 | 4% |
| 볼린저 밴드 돌파 n=13, k=1.9 |
8.2% | -46.8% | 0.45 | 0.18 | 1.8x | 99 | 32% |
| Parabolic SAR step=0.04, maxStep=0.28 |
5.2% | -48.8% | 0.32 | 0.11 | 1.4x | 233 | 52% |
| Buy and hold | 24.8% | -65.8% | 0.71 | 0.38 | 4.9x | 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 10 days
- Sell — Sell when price breaks below the lowest low of the last 51 days