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; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 12.2%, MDD -31.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 2.5%, drawdown -93.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 21.5%, MDD -43.6%, Sharpe 0.71, 42% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 18.9%p higher than buy and hold, while drawdown improves by 49.5%p (CAGR 12.2%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=37, slow=193 |
21.5% | -43.6% | 0.71 | 0.49 | 5.1x | 7 | 42% |
| ADX / DI 방향성 period=26, threshold=22 |
17.0% | -37.4% | 0.71 | 0.45 | 3.7x | 32 | 21% |
| Supertrend period=24, mult=4.9 |
20.1% | -58.7% | 0.69 | 0.34 | 4.6x | 26 | 45% |
| SMA 크로스오버 fast=23, slow=97 |
20.1% | -56.8% | 0.66 | 0.35 | 4.6x | 21 | 49% |
| ROC 모멘텀 n=37, threshold=0.13 |
13.2% | -45.0% | 0.56 | 0.29 | 2.8x | 94 | 28% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=19, mult=3.1 |
12.2% | -31.2% | 0.55 | 0.39 | 2.6x | 28 | 20% |
| 볼린저 밴드 돌파 n=18, k=2.5 |
11.2% | -44.0% | 0.54 | 0.26 | 2.4x | 50 | 21% |
| Parabolic SAR step=0.01, maxStep=0.28 |
12.4% | -74.4% | 0.49 | 0.17 | 2.7x | 100 | 48% |
| Donchian 채널 돌파 entryN=35, exitN=8 |
10.3% | -63.1% | 0.47 | 0.16 | 2.3x | 50 | 28% |
| MACD fast=12, slow=50, signal=13 |
9.4% | -75.2% | 0.42 | 0.13 | 2.1x | 104 | 53% |
| Buy and hold | 2.5% | -93.0% | 0.33 | 0.03 | 1.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 37-day EMA crosses above the 193-day EMA
- Sell — Sell when the 37-day EMA falls below the 193-day EMA