Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Ambea AB backtest
10 trend-following strategies were compared on the full daily history of Ambea AB. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 15.2%, MDD -26.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 9.3%, drawdown -63.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.1%, MDD -8.6%, Sharpe 0.81, 9% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 15.5%, MDD -30.7%, exposure 51%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.1%p lower than buy and hold, while drawdown improves by 54.8%p (CAGR 15.2%, MDD -26.6%, exposure 43%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=51, threshold=20 |
7.1% | -8.6% | 0.81 | 0.83 | 1.9x | 4 | 9% |
| Donchian 채널 돌파 entryN=89, exitN=48 |
15.2% | -26.6% | 0.80 | 0.57 | 3.8x | 9 | 43% |
| ROC 모멘텀 n=105, threshold=0.03 |
15.5% | -30.7% | 0.79 | 0.50 | 3.9x | 57 | 51% |
| EMA 크로스오버 fast=59, slow=159 |
14.8% | -35.8% | 0.76 | 0.41 | 3.7x | 7 | 49% |
| SMA 크로스오버 fast=7, slow=211 |
14.0% | -33.0% | 0.71 | 0.42 | 3.5x | 15 | 51% |
| 볼린저 밴드 돌파 n=55, k=3.4 |
5.6% | -22.1% | 0.53 | 0.25 | 1.7x | 7 | 15% |
| Supertrend period=13, mult=3.6 |
8.8% | -55.8% | 0.48 | 0.16 | 2.2x | 41 | 58% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=20, mult=4 |
4.2% | -32.7% | 0.37 | 0.13 | 1.5x | 13 | 21% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-0.6% | -55.5% | 0.09 | -0.01 | 0.9x | 91 | 57% |
| MACD fast=20, slow=75, signal=21 |
-1.4% | -52.8% | 0.05 | -0.03 | 0.9x | 83 | 49% |
| Buy and hold | 9.3% | -63.4% | 0.43 | 0.15 | 2.3x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 51-day) is ≥ 20
- Sell — Sell when direction flips or the trend weakens (ADX < 20)