Trend-Following Backtester · Guide · backtest 한국어
equity · NL
Alfen NV backtest
10 trend-following strategies were compared on the full daily history of Alfen NV. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 12.0%, MDD -31.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.6%, drawdown -93.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 16.8%, MDD -37.4%, Sharpe 0.71, 20% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 20.3%, MDD -56.8%, exposure 48%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 15.2%p higher than buy and hold, while drawdown improves by 55.7%p (CAGR 12.0%, MDD -31.2%, exposure 20%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=26, threshold=22 |
16.8% | -37.4% | 0.71 | 0.45 | 3.7x | 32 | 20% |
| Supertrend period=24, mult=4.9 |
19.9% | -58.7% | 0.68 | 0.34 | 4.6x | 26 | 44% |
| EMA 크로스오버 fast=37, slow=193 |
20.1% | -43.6% | 0.68 | 0.46 | 4.7x | 7 | 42% |
| SMA 크로스오버 fast=23, slow=97 |
20.3% | -56.8% | 0.66 | 0.36 | 4.8x | 22 | 48% |
| ROC 모멘텀 n=37, threshold=0.13 |
13.1% | -45.0% | 0.55 | 0.29 | 2.8x | 94 | 27% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=19, mult=3.1 |
12.0% | -31.2% | 0.55 | 0.39 | 2.6x | 28 | 20% |
| Parabolic SAR step=0.01, maxStep=0.28 |
12.1% | -74.4% | 0.49 | 0.16 | 2.6x | 102 | 48% |
| 볼린저 밴드 돌파 n=18, k=2.5 |
9.4% | -44.0% | 0.48 | 0.21 | 2.1x | 52 | 21% |
| Donchian 채널 돌파 entryN=35, exitN=8 |
10.1% | -63.1% | 0.47 | 0.16 | 2.3x | 50 | 28% |
| MACD fast=12, slow=50, signal=13 |
7.6% | -75.2% | 0.38 | 0.10 | 1.9x | 106 | 53% |
| Buy and hold | 1.6% | -93.0% | 0.31 | 0.02 | 1.1x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 26-day) is ≥ 22
- Sell — Sell when direction flips or the trend weakens (ADX < 22)