Trend-Following Backtester · Guide · backtest 한국어
equity · SE
AAK AB backtest
10 trend-following strategies were compared on the full daily history of AAK AB. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.0%, drawdown -65.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.3%, MDD -34.1%, Sharpe 0.57, 39% exposure.
CAGR reference leader: Supertrend — CAGR 7.4%, MDD -40.2%, exposure 62%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=109, exitN=34 |
7.3% | -34.1% | 0.57 | 0.21 | 4.4x | 36 | 39% |
| 볼린저 밴드 돌파 n=24, k=2.6 |
5.0% | -25.3% | 0.48 | 0.20 | 2.8x | 96 | 23% |
| Supertrend period=25, mult=4.6 |
7.4% | -40.2% | 0.46 | 0.18 | 4.4x | 66 | 62% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=20, mult=4 |
3.9% | -16.2% | 0.45 | 0.24 | 2.2x | 34 | 15% |
| EMA 크로스오버 fast=16, slow=188 |
6.7% | -37.6% | 0.44 | 0.18 | 3.9x | 46 | 62% |
| SMA 크로스오버 fast=56, slow=201 |
4.9% | -52.7% | 0.36 | 0.09 | 2.7x | 32 | 59% |
| ROC 모멘텀 n=129, threshold=0.04 |
4.3% | -34.9% | 0.34 | 0.12 | 2.4x | 162 | 51% |
| ADX / DI 방향성 period=29, threshold=34 |
1.2% | -10.5% | 0.33 | 0.12 | 1.3x | 10 | 3% |
| MACD fast=30, slow=72, signal=39 |
4.2% | -35.9% | 0.32 | 0.12 | 2.4x | 128 | 51% |
| Parabolic SAR step=0.005, maxStep=0.36 |
2.4% | -56.3% | 0.22 | 0.04 | 1.6x | 182 | 56% |
| Buy and hold | 11.0% | -65.6% | 0.52 | 0.17 | 8.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 109 days
- Sell — Sell when price breaks below the lowest low of the last 34 days