Trend-Following Backtester · Guide · backtest 한국어
equity · NL
Aperam S.A. backtest
10 trend-following strategies were compared on the full daily history of Aperam S.A.. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.2%, MDD -18.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR 2.9%, drawdown -74.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.2%, MDD -18.7%, Sharpe 0.51, 12% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.6%, MDD -58.8%, exposure 78%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 55.8%p (CAGR 6.2%, MDD -18.7%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=51, k=3.4 |
6.2% | -18.7% | 0.51 | 0.33 | 2.6x | 14 | 12% |
| ROC 모멘텀 n=82, threshold=-0.01 |
6.4% | -61.3% | 0.36 | 0.10 | 2.6x | 152 | 55% |
| Donchian 채널 돌파 entryN=18, exitN=79 |
6.6% | -58.8% | 0.35 | 0.11 | 2.7x | 43 | 78% |
| SMA 크로스오버 fast=44, slow=114 |
5.5% | -58.0% | 0.33 | 0.10 | 2.3x | 37 | 52% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=23, mult=3.1 |
3.9% | -32.3% | 0.32 | 0.12 | 1.8x | 44 | 18% |
| EMA 크로스오버 fast=52, slow=162 |
4.5% | -66.2% | 0.30 | 0.07 | 2.0x | 27 | 48% |
| ADX / DI 방향성 period=15, threshold=17 |
3.4% | -60.2% | 0.26 | 0.06 | 1.7x | 210 | 40% |
| Supertrend period=13, mult=2.7 |
3.2% | -56.7% | 0.25 | 0.06 | 1.6x | 136 | 52% |
| Parabolic SAR step=0.01, maxStep=0.32 |
3.1% | -60.1% | 0.25 | 0.05 | 1.6x | 216 | 52% |
| MACD fast=9, slow=43, signal=18 |
1.6% | -58.3% | 0.19 | 0.03 | 1.3x | 226 | 49% |
| Buy and hold | 2.9% | -74.5% | 0.27 | 0.04 | 1.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 51-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 51-day middle average