Trend-Following Backtester · Guide · backtest 한국어
equity · PL
Auto Partner SA backtest
10 trend-following strategies were compared on the full daily history of Auto Partner SA. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 21.4%, MDD -36.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 22.8%, drawdown -47.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 25.1%, MDD -40.0%, Sharpe 0.99, 55% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 7.1%p (CAGR 21.4%, MDD -36.0%, exposure 56%).
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=50, slow=110 |
25.1% | -40.0% | 0.99 | 0.63 | 9.0x | 13 | 55% |
| EMA 크로스오버 fast=41, slow=103 |
21.4% | -36.0% | 0.87 | 0.59 | 6.7x | 13 | 56% |
| 볼린저 밴드 돌파 n=59, k=2.4 |
15.1% | -18.4% | 0.85 | 0.82 | 4.0x | 23 | 34% |
| ADX / DI 방향성 period=34, threshold=23 |
9.3% | -15.8% | 0.81 | 0.59 | 2.4x | 13 | 15% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=17, mult=2.5 |
15.3% | -35.6% | 0.80 | 0.43 | 4.0x | 27 | 40% |
| Donchian 채널 돌파 entryN=94, exitN=15 |
13.2% | -20.7% | 0.79 | 0.64 | 3.4x | 25 | 30% |
| ROC 모멘텀 n=140, threshold=0.08 |
15.8% | -38.3% | 0.76 | 0.41 | 4.2x | 55 | 46% |
| Supertrend period=22, mult=4.2 |
13.1% | -47.0% | 0.61 | 0.28 | 3.4x | 31 | 60% |
| Parabolic SAR step=0.02, maxStep=0.16 |
-2.5% | -59.0% | 0.02 | -0.04 | 0.8x | 194 | 56% |
| MACD fast=12, slow=36, signal=10 |
-7.1% | -67.1% | -0.20 | -0.11 | 0.5x | 188 | 47% |
| Buy and hold | 22.8% | -47.1% | 0.77 | 0.48 | 7.4x | 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 50-day average price crosses above the 110-day average
- Sell — Sell (to cash) when the 50-day average falls below the 110-day average