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; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.4%, MDD -26.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 7.3%, drawdown -63.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.4%, MDD -26.6%, Sharpe 0.70, 43% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.1%p higher than buy and hold, while drawdown improves by 36.8%p (CAGR 12.4%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=90, exitN=51 |
12.4% | -26.6% | 0.70 | 0.47 | 3.0x | 9 | 43% |
| EMA 크로스오버 fast=50, slow=182 |
11.4% | -33.5% | 0.63 | 0.34 | 2.7x | 7 | 48% |
| ROC 모멘텀 n=104, threshold=0.05 |
11.1% | -28.3% | 0.63 | 0.39 | 2.7x | 73 | 47% |
| SMA 크로스오버 fast=7, slow=206 |
11.6% | -38.4% | 0.62 | 0.30 | 2.8x | 17 | 50% |
| ADX / DI 방향성 period=37, threshold=23 |
4.7% | -10.5% | 0.56 | 0.45 | 1.5x | 8 | 8% |
| 볼린저 밴드 돌파 n=55, k=3.4 |
5.2% | -22.1% | 0.51 | 0.24 | 1.6x | 6 | 14% |
| Supertrend period=19, mult=4.2 |
6.1% | -50.2% | 0.37 | 0.12 | 1.7x | 31 | 59% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=14, mult=3.6 |
1.3% | -33.7% | 0.17 | 0.04 | 1.1x | 16 | 16% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-0.7% | -55.5% | 0.09 | -0.01 | 0.9x | 89 | 56% |
| MACD fast=14, slow=57, signal=24 |
-3.0% | -55.5% | -0.02 | -0.05 | 0.8x | 104 | 49% |
| Buy and hold | 7.3% | -63.4% | 0.38 | 0.11 | 1.9x | 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 90 days
- Sell — Sell when price breaks below the lowest low of the last 51 days