Trend-Following Backtester · Guide · backtest 한국어
equity · PT
Altri, SGPS, S.A. backtest
10 trend-following strategies were compared on the full daily history of Altri, SGPS, S.A.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 14.1%, MDD -23.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.1%, drawdown -98.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 18.4%, MDD -26.4%, Sharpe 1.03, 30% exposure.
CAGR reference leader: Parabolic SAR — CAGR 22.1%, MDD -53.2%, exposure 49%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 18.3%p higher than buy and hold, while drawdown improves by 72.2%p (CAGR 14.1%, MDD -23.6%, exposure 18%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=16, mult=3.3 |
18.4% | -26.4% | 1.03 | 0.70 | 88.9x | 60 | 30% |
| 볼린저 밴드 돌파 n=31, k=3 |
14.1% | -23.6% | 1.01 | 0.60 | 33.6x | 60 | 18% |
| Donchian 채널 돌파 entryN=52, exitN=16 |
17.3% | -48.1% | 0.96 | 0.36 | 70.2x | 92 | 34% |
| Parabolic SAR step=0.005, maxStep=0.08 |
22.1% | -53.2% | 0.93 | 0.42 | 203.0x | 186 | 49% |
| ADX / DI 방향성 period=11, threshold=26 |
18.1% | -44.7% | 0.90 | 0.41 | 83.4x | 286 | 30% |
| Supertrend period=10, mult=5 |
21.6% | -41.9% | 0.88 | 0.52 | 182.1x | 74 | 56% |
| ROC 모멘텀 n=15, threshold=0.06 |
14.2% | -42.4% | 0.76 | 0.33 | 33.7x | 480 | 24% |
| EMA 크로스오버 fast=8, slow=19 |
17.1% | -59.4% | 0.75 | 0.29 | 67.0x | 296 | 53% |
| MACD fast=19, slow=35, signal=20 |
15.1% | -53.6% | 0.74 | 0.28 | 41.9x | 265 | 50% |
| SMA 크로스오버 fast=15, slow=187 |
7.4% | -85.6% | 0.46 | 0.09 | 6.6x | 54 | 52% |
| Buy and hold | 0.1% | -98.7% | 0.35 | 0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 52-day average + 3.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 52-day average