Trend-Following Backtester · Guide · backtest 한국어
equity · NL
Aegon Ltd. backtest
10 trend-following strategies were compared on the full daily history of Aegon Ltd.. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.0%, MDD -39.6%).
Results by strategy
6 of 10 beat buy and hold (CAGR 1.7%, drawdown -97.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.3%, MDD -54.4%, Sharpe 0.34, 54% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.6%p higher than buy and hold, while drawdown improves by 42.6%p (CAGR 2.0%, MDD -39.6%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=35, slow=206 |
5.3% | -54.4% | 0.34 | 0.10 | 5.0x | 45 | 54% |
| ADX / DI 방향성 period=39, threshold=24 |
2.0% | -39.6% | 0.31 | 0.05 | 1.9x | 16 | 6% |
| EMA 크로스오버 fast=57, slow=120 |
4.4% | -65.7% | 0.31 | 0.07 | 3.9x | 53 | 55% |
| Donchian 채널 돌파 entryN=76, exitN=78 |
4.2% | -66.5% | 0.30 | 0.06 | 3.7x | 47 | 50% |
| 볼린저 밴드 돌파 n=41, k=1.1 |
3.0% | -69.0% | 0.24 | 0.04 | 2.5x | 241 | 44% |
| ROC 모멘텀 n=126, threshold=0 |
2.9% | -80.7% | 0.24 | 0.04 | 2.4x | 283 | 56% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=14, mult=2.8 |
1.6% | -70.0% | 0.18 | 0.02 | 1.7x | 123 | 31% |
| Supertrend period=5, mult=5 |
1.0% | -84.3% | 0.16 | 0.01 | 1.4x | 115 | 48% |
| MACD fast=23, slow=63, signal=15 |
-0.6% | -81.8% | 0.11 | -0.01 | 0.8x | 321 | 51% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-5.6% | -97.4% | -0.09 | -0.06 | 0.2x | 603 | 54% |
| Buy and hold | 1.7% | -97.0% | 0.24 | 0.02 | 1.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 35-day average price crosses above the 206-day average
- Sell — Sell (to cash) when the 35-day average falls below the 206-day average