Trend-Following Backtester · Guide · backtest 한국어
equity · IN
AXISCADES Technologies Ltd. backtest
10 trend-following strategies were compared on the full daily history of AXISCADES Technologies Ltd.. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 34.4%, MDD -64.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 15.6%, drawdown -92.9%).
Sharpe leader (same as main): Supertrend — CAGR 45.1%, MDD -69.8%, Sharpe 1.09, 40% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 29.5%p higher than buy and hold, while drawdown improves by 23.1%p (CAGR 34.4%, MDD -64.0%, exposure 29%).
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=26, mult=0.6 |
45.1% | -69.8% | 1.09 | 0.65 | 8131.1x | 946 | 40% |
| 볼린저 밴드 돌파 n=10, k=1.6 |
34.4% | -64.0% | 0.97 | 0.54 | 1275.2x | 416 | 29% |
| MACD fast=10, slow=52, signal=11 |
37.9% | -72.0% | 0.93 | 0.53 | 2371.4x | 361 | 47% |
| Parabolic SAR step=0.025, maxStep=0.4 |
28.6% | -69.7% | 0.79 | 0.41 | 436.3x | 575 | 45% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=18, mult=0.4 |
24.1% | -67.9% | 0.71 | 0.35 | 184.1x | 240 | 45% |
| ADX / DI 방향성 period=6, threshold=25 |
22.4% | -81.0% | 0.68 | 0.28 | 131.5x | 590 | 41% |
| Donchian 채널 돌파 entryN=52, exitN=2 |
12.6% | -51.4% | 0.64 | 0.25 | 17.7x | 156 | 10% |
| SMA 크로스오버 fast=12, slow=182 |
18.3% | -79.8% | 0.60 | 0.23 | 57.5x | 58 | 51% |
| EMA 크로스오버 fast=25, slow=29 |
18.2% | -74.8% | 0.59 | 0.24 | 56.7x | 118 | 48% |
| ROC 모멘텀 n=30, threshold=-0.02 |
15.3% | -87.6% | 0.54 | 0.17 | 31.1x | 385 | 53% |
| Buy and hold | 15.6% | -92.9% | 0.54 | 0.17 | 33.2x | 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) — 26-day volatility, 0.6× band
- Sell — Sell when price drops below the trend line (flips down)