Trend-Following Backtester · Guide · backtest 한국어
equity · US
Allot Ltd. backtest
10 trend-following strategies were compared on the full daily history of Allot Ltd.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.5%, MDD -36.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.0%, drawdown -95.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.4%, MDD -49.1%, Sharpe 0.66, 51% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 22.4%p higher than buy and hold, while drawdown improves by 46.3%p (CAGR 6.5%, MDD -36.1%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=56, slow=165 |
19.4% | -49.1% | 0.66 | 0.39 | 32.6x | 16 | 51% |
| EMA 크로스오버 fast=57, slow=165 |
18.7% | -49.1% | 0.65 | 0.38 | 29.1x | 20 | 48% |
| Donchian 채널 돌파 entryN=61, exitN=58 |
15.8% | -63.4% | 0.59 | 0.25 | 18.0x | 25 | 47% |
| 볼린저 밴드 돌파 n=96, k=3.1 |
10.9% | -47.7% | 0.54 | 0.23 | 7.7x | 24 | 21% |
| ROC 모멘텀 n=126, threshold=0.01 |
12.1% | -71.8% | 0.50 | 0.17 | 9.5x | 166 | 47% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=18, mult=3.8 |
8.7% | -52.1% | 0.48 | 0.17 | 5.2x | 34 | 18% |
| Supertrend period=17, mult=3.7 |
9.8% | -76.2% | 0.44 | 0.13 | 6.3x | 73 | 49% |
| ADX / DI 방향성 period=18, threshold=27 |
6.5% | -36.1% | 0.43 | 0.18 | 3.4x | 64 | 11% |
| MACD fast=18, slow=48, signal=30 |
-0.5% | -92.7% | 0.17 | -0.00 | 0.9x | 170 | 53% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-1.9% | -86.7% | 0.12 | -0.02 | 0.7x | 165 | 50% |
| Buy and hold | -3.0% | -95.4% | 0.20 | -0.03 | 0.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 56-day average price crosses above the 165-day average
- Sell — Sell (to cash) when the 56-day average falls below the 165-day average