Trend-Following Backtester · Guide · backtest 한국어
equity · GR
Allwyn AG backtest
10 trend-following strategies were compared on the full daily history of Allwyn AG. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.1%, MDD -37.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 3.4%, drawdown -89.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.1%, MDD -37.4%, Sharpe 0.31, 34% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.5%, MDD -57.5%, exposure 54%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 52.0%p (CAGR 4.1%, MDD -37.4%, exposure 34%).
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=112, exitN=40 |
4.1% | -37.4% | 0.31 | 0.11 | 2.8x | 44 | 34% |
| SMA 크로스오버 fast=47, slow=171 |
4.5% | -57.5% | 0.31 | 0.08 | 3.0x | 40 | 54% |
| EMA 크로스오버 fast=31, slow=110 |
4.3% | -74.6% | 0.30 | 0.06 | 2.9x | 66 | 56% |
| ROC 모멘텀 n=119, threshold=-0.03 |
2.2% | -77.6% | 0.21 | 0.03 | 1.7x | 214 | 61% |
| Parabolic SAR step=0.005, maxStep=0.26 |
1.1% | -80.7% | 0.17 | 0.01 | 1.3x | 194 | 53% |
| ADX / DI 방향성 period=37, threshold=26 |
0.6% | -14.1% | 0.16 | 0.04 | 1.2x | 8 | 3% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=15, mult=4 |
0.9% | -28.3% | 0.15 | 0.03 | 1.2x | 26 | 6% |
| 볼린저 밴드 돌파 n=41, k=3.5 |
0.6% | -17.5% | 0.13 | 0.04 | 1.2x | 14 | 4% |
| Supertrend period=17, mult=2.5 |
-1.1% | -79.2% | 0.08 | -0.01 | 0.8x | 214 | 54% |
| MACD fast=16, slow=34, signal=18 |
-4.7% | -93.0% | -0.06 | -0.05 | 0.3x | 328 | 51% |
| Buy and hold | 3.4% | -89.4% | 0.28 | 0.04 | 2.4x | 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 112 days
- Sell — Sell when price breaks below the lowest low of the last 40 days