Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Allianz Technology Trust PLC backtest
10 trend-following strategies were compared on the full daily history of Allianz Technology Trust PLC. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 16.5%, MDD -31.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 14.9%, drawdown -85.9%).
Sharpe leader (same as main): Supertrend — CAGR 17.2%, MDD -43.6%, Sharpe 0.96, 58% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 42.3%p (CAGR 16.5%, MDD -31.3%, exposure 68%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=9, mult=4.5 |
17.2% | -43.6% | 0.96 | 0.40 | 132.6x | 206 | 58% |
| Donchian 채널 돌파 entryN=22, exitN=32 |
16.5% | -31.3% | 0.88 | 0.53 | 108.5x | 139 | 68% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=26, mult=1.2 |
13.4% | -33.2% | 0.87 | 0.40 | 47.6x | 358 | 46% |
| EMA 크로스오버 fast=9, slow=35 |
14.5% | -35.7% | 0.82 | 0.41 | 63.9x | 212 | 64% |
| 볼린저 밴드 돌파 n=39, k=1.5 |
12.1% | -25.8% | 0.80 | 0.47 | 33.9x | 194 | 45% |
| SMA 크로스오버 fast=8, slow=70 |
13.5% | -37.3% | 0.76 | 0.36 | 49.6x | 158 | 64% |
| ADX / DI 방향성 period=21, threshold=11 |
12.5% | -36.7% | 0.75 | 0.34 | 37.3x | 422 | 55% |
| Parabolic SAR step=0.015, maxStep=0.42 |
12.5% | -45.0% | 0.70 | 0.28 | 37.0x | 496 | 58% |
| ROC 모멘텀 n=194, threshold=-0.02 |
13.0% | -43.9% | 0.70 | 0.30 | 43.0x | 139 | 70% |
| MACD fast=13, slow=57, signal=6 |
9.2% | -43.7% | 0.57 | 0.21 | 15.0x | 554 | 52% |
| Buy and hold | 14.9% | -85.9% | 0.63 | 0.17 | 70.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 9-day volatility, 4.5× band
- Sell — Sell when price drops below the trend line (flips down)