Trend-Following Backtester · Guide · backtest 한국어
equity · US
Afya Limited backtest
10 trend-following strategies were compared on the full daily history of Afya Limited. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.2%, MDD -6.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR -7.1%, drawdown -72.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.2%, MDD -6.3%, Sharpe 0.24, 4% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 1.7%, MDD -48.9%, exposure 48%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.3%p higher than buy and hold, while drawdown improves by 65.8%p (CAGR 1.2%, MDD -6.3%, exposure 4%).
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=25, atrPeriod=18, mult=3.2 |
1.2% | -6.3% | 0.24 | 0.18 | 1.1x | 4 | 4% |
| SMA 크로스오버 fast=28, slow=63 |
1.7% | -48.9% | 0.20 | 0.04 | 1.1x | 25 | 48% |
| Donchian 채널 돌파 entryN=66, exitN=49 |
-1.3% | -37.9% | 0.05 | -0.03 | 0.9x | 10 | 30% |
| ADX / DI 방향성 period=38, threshold=15 |
-0.5% | -30.1% | 0.03 | -0.02 | 1.0x | 16 | 11% |
| EMA 크로스오버 fast=34, slow=82 |
-2.4% | -37.1% | 0.02 | -0.07 | 0.8x | 16 | 39% |
| 볼린저 밴드 돌파 n=30, k=2.8 |
-0.7% | -22.2% | -0.02 | -0.03 | 1.0x | 12 | 8% |
| ROC 모멘텀 n=31, threshold=0.12 |
-1.7% | -38.3% | -0.05 | -0.05 | 0.9x | 84 | 15% |
| Supertrend period=21, mult=4.8 |
-8.9% | -62.8% | -0.15 | -0.14 | 0.5x | 19 | 50% |
| Parabolic SAR step=0.04, maxStep=0.32 |
-7.9% | -61.3% | -0.16 | -0.13 | 0.6x | 229 | 49% |
| MACD fast=9, slow=34, signal=8 |
-9.5% | -69.2% | -0.20 | -0.14 | 0.5x | 133 | 51% |
| Buy and hold | -7.1% | -72.1% | 0.08 | -0.10 | 0.6x | 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 25-day average + 3.2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 25-day average