Trend-Following Backtester · Guide · backtest 한국어
equity · PL
Allegro.eu S.A. backtest
10 trend-following strategies were compared on the full daily history of Allegro.eu S.A.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.1%, MDD -24.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -9.5%, drawdown -80.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.6%, MDD -27.9%, Sharpe 0.49, 9% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.9%, MDD -31.2%, exposure 43%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.2%p higher than buy and hold, while drawdown improves by 52.6%p (CAGR 4.1%, MDD -24.7%, 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=14, k=2.7 |
4.6% | -27.9% | 0.49 | 0.17 | 1.3x | 13 | 9% |
| SMA 크로스오버 fast=24, slow=134 |
7.9% | -31.2% | 0.46 | 0.25 | 1.6x | 15 | 43% |
| EMA 크로스오버 fast=43, slow=67 |
7.5% | -28.9% | 0.44 | 0.26 | 1.5x | 11 | 43% |
| ADX / DI 방향성 period=12, threshold=33 |
4.1% | -24.7% | 0.39 | 0.16 | 1.3x | 21 | 12% |
| MACD fast=18, slow=53, signal=23 |
4.3% | -48.4% | 0.29 | 0.09 | 1.3x | 49 | 49% |
| ROC 모멘텀 n=117, threshold=-0.04 |
3.7% | -34.5% | 0.27 | 0.11 | 1.2x | 41 | 47% |
| Donchian 채널 돌파 entryN=41, exitN=69 |
2.3% | -45.3% | 0.22 | 0.05 | 1.1x | 11 | 52% |
| Supertrend period=15, mult=4.9 |
-1.7% | -56.4% | 0.08 | -0.03 | 0.9x | 17 | 52% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=19, mult=3.5 |
0.0% | -28.6% | 0.06 | 0.00 | 1.0x | 11 | 10% |
| Parabolic SAR step=0.015, maxStep=0.32 |
-5.1% | -63.6% | -0.05 | -0.08 | 0.7x | 102 | 46% |
| Buy and hold | -9.5% | -80.6% | -0.03 | -0.12 | 0.6x | 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 14-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 14-day middle average