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.. 3 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.7%, MDD -17.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 13.0%, drawdown -68.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 15.6%, MDD -42.8%, Sharpe 0.73, 24% exposure.
CAGR reference leader: Parabolic SAR — CAGR 16.4%, MDD -48.8%, exposure 51%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 25.9%p (CAGR 10.7%, MDD -17.6%, exposure 13%).
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 |
15.6% | -42.8% | 0.73 | 0.36 | 2.3x | 50 | 24% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=13, mult=2.4 |
10.7% | -17.6% | 0.70 | 0.61 | 1.8x | 18 | 13% |
| Parabolic SAR step=0.02, maxStep=0.28 |
16.4% | -48.8% | 0.59 | 0.34 | 2.4x | 124 | 51% |
| Supertrend period=18, mult=1.9 |
13.2% | -55.3% | 0.53 | 0.24 | 2.1x | 80 | 49% |
| ADX / DI 방향성 period=16, threshold=23 |
10.2% | -26.3% | 0.51 | 0.39 | 1.8x | 32 | 20% |
| MACD fast=7, slow=46, signal=8 |
8.6% | -58.5% | 0.41 | 0.15 | 1.6x | 118 | 50% |
| ROC 모멘텀 n=33, threshold=-0.04 |
4.4% | -55.5% | 0.31 | 0.08 | 1.3x | 94 | 59% |
| Donchian 채널 돌파 entryN=21, exitN=74 |
1.1% | -60.9% | 0.24 | 0.02 | 1.1x | 14 | 72% |
| EMA 크로스오버 fast=22, slow=156 |
1.7% | -56.3% | 0.23 | 0.03 | 1.1x | 14 | 46% |
| SMA 크로스오버 fast=12, slow=173 |
-2.8% | -64.5% | 0.12 | -0.04 | 0.8x | 18 | 47% |
| Buy and hold | 13.0% | -68.6% | 0.50 | 0.19 | 2.0x | 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