Trend-Following Backtester · Guide · backtest 한국어
equity · US
Allegro MicroSystems, Inc. backtest
10 trend-following strategies were compared on the full daily history of Allegro MicroSystems, Inc.. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 15.8%, MDD -42.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 15.9%, drawdown -68.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 15.8%, MDD -42.8%, Sharpe 0.73, 24% exposure.
CAGR reference leader: Parabolic SAR — CAGR 18.6%, MDD -48.8%, exposure 51%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 25.9%p (CAGR 15.8%, MDD -42.8%, exposure 24%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=15, k=2.2 |
15.8% | -42.8% | 0.73 | 0.37 | 2.3x | 50 | 24% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=13, mult=2.4 |
10.9% | -17.6% | 0.71 | 0.62 | 1.8x | 18 | 13% |
| Parabolic SAR step=0.02, maxStep=0.28 |
18.6% | -48.8% | 0.64 | 0.38 | 2.7x | 122 | 51% |
| Supertrend period=18, mult=1.9 |
13.4% | -55.3% | 0.53 | 0.24 | 2.1x | 80 | 50% |
| ADX / DI 방향성 period=16, threshold=23 |
10.4% | -26.3% | 0.51 | 0.39 | 1.8x | 32 | 21% |
| MACD fast=7, slow=46, signal=8 |
10.9% | -58.5% | 0.47 | 0.19 | 1.8x | 116 | 50% |
| ROC 모멘텀 n=33, threshold=-0.04 |
4.4% | -55.5% | 0.31 | 0.08 | 1.3x | 94 | 59% |
| EMA 크로스오버 fast=22, slow=156 |
4.5% | -56.3% | 0.30 | 0.08 | 1.3x | 13 | 46% |
| Donchian 채널 돌파 entryN=21, exitN=74 |
3.1% | -60.9% | 0.29 | 0.05 | 1.2x | 13 | 72% |
| SMA 크로스오버 fast=12, slow=173 |
-1.0% | -64.5% | 0.16 | -0.02 | 0.9x | 17 | 46% |
| Buy and hold | 15.9% | -68.6% | 0.54 | 0.23 | 2.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 15-day average (2.2× volatility)
- Sell — Sell when the close falls back to the 15-day middle average