Trend-Following Backtester · Guide · backtest 한국어
equity · GR
Athens Water Supply and Sewerage Company S.A. backtest
10 trend-following strategies were compared on the full daily history of Athens Water Supply and Sewerage Company S.A.. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.1%, MDD -28.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR 2.0%, drawdown -84.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.2%, MDD -56.1%, Sharpe 0.35, 37% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 28.6%p (CAGR 3.1%, MDD -28.1%, exposure 9%).
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=91, exitN=55 |
5.2% | -56.1% | 0.35 | 0.09 | 3.9x | 37 | 37% |
| 볼린저 밴드 돌파 n=27, k=3 |
3.1% | -28.1% | 0.32 | 0.11 | 2.3x | 44 | 9% |
| SMA 크로스오버 fast=17, slow=212 |
3.8% | -68.3% | 0.28 | 0.06 | 2.7x | 43 | 46% |
| EMA 크로스오버 fast=50, slow=61 |
3.3% | -66.5% | 0.26 | 0.05 | 2.4x | 67 | 48% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=24, mult=2.7 |
2.3% | -35.0% | 0.25 | 0.07 | 1.8x | 56 | 9% |
| Supertrend period=16, mult=3.2 |
1.2% | -72.2% | 0.17 | 0.02 | 1.4x | 133 | 49% |
| ADX / DI 방향성 period=39, threshold=14 |
1.0% | -46.0% | 0.14 | 0.02 | 1.3x | 105 | 25% |
| ROC 모멘텀 n=101, threshold=0.13 |
-0.1% | -67.8% | 0.08 | -0.00 | 1.0x | 177 | 25% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-1.6% | -87.8% | 0.06 | -0.02 | 0.6x | 211 | 51% |
| MACD fast=15, slow=23, signal=17 |
-2.8% | -85.7% | 0.00 | -0.03 | 0.5x | 376 | 51% |
| Buy and hold | 2.0% | -84.7% | 0.24 | 0.02 | 1.7x | 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 91 days
- Sell — Sell when price breaks below the lowest low of the last 55 days