Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Aston Martin Lagonda Global Holdings Plc backtest
10 trend-following strategies were compared on the full daily history of Aston Martin Lagonda Global Holdings Plc. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.4%, MDD -29.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -46.0%, drawdown -99.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 8.6%, MDD -30.5%, Sharpe 0.48, 13% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 54.5%p higher than buy and hold, while drawdown improves by 68.7%p (CAGR 3.4%, MDD -29.7%, exposure 7%).
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=65, atrPeriod=22, mult=2.8 |
8.6% | -30.5% | 0.48 | 0.28 | 1.9x | 6 | 13% |
| ROC 모멘텀 n=146, threshold=0.06 |
8.5% | -37.2% | 0.46 | 0.23 | 1.9x | 24 | 19% |
| SMA 크로스오버 fast=18, slow=186 |
8.2% | -38.9% | 0.45 | 0.21 | 1.9x | 4 | 19% |
| Donchian 채널 돌파 entryN=70, exitN=48 |
7.2% | -31.6% | 0.42 | 0.23 | 1.7x | 4 | 16% |
| EMA 크로스오버 fast=42, slow=106 |
6.6% | -38.9% | 0.39 | 0.17 | 1.6x | 4 | 19% |
| 볼린저 밴드 돌파 n=38, k=3.1 |
3.4% | -29.7% | 0.27 | 0.11 | 1.3x | 8 | 7% |
| ADX / DI 방향성 period=27, threshold=18 |
2.2% | -37.0% | 0.21 | 0.06 | 1.2x | 24 | 13% |
| Parabolic SAR step=0.03, maxStep=0.28 |
-15.0% | -79.5% | -0.05 | -0.19 | 0.3x | 213 | 44% |
| MACD fast=20, slow=48, signal=19 |
-23.6% | -89.2% | -0.18 | -0.26 | 0.1x | 77 | 52% |
| Supertrend period=22, mult=2.5 |
-25.4% | -90.9% | -0.38 | -0.28 | 0.1x | 48 | 31% |
| Buy and hold | -46.0% | -99.2% | -0.44 | -0.46 | 0.0x | 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 65-day average + 2.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 65-day average