Trend-Following Backtester · Guide · backtest 한국어
equity · US
Algoma Steel Group Inc. backtest
10 trend-following strategies were compared on the full daily history of Algoma Steel Group Inc.. 10 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 1.9%, MDD -17.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -15.8%, drawdown -75.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.9%, MDD -17.6%, Sharpe 0.22, 9% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 17.7%p higher than buy and hold, while drawdown improves by 57.9%p (CAGR 1.9%, MDD -17.6%, exposure 9%).
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=22, atrPeriod=23, mult=3.2 |
1.9% | -17.6% | 0.22 | 0.11 | 1.1x | 10 | 9% |
| MACD fast=3, slow=33, signal=6 |
0.4% | -55.2% | 0.18 | 0.01 | 1.0x | 176 | 47% |
| 볼린저 밴드 돌파 n=32, k=2.6 |
0.2% | -28.0% | 0.10 | 0.01 | 1.0x | 20 | 18% |
| ADX / DI 방향성 period=29, threshold=19 |
-0.4% | -34.7% | 0.07 | -0.01 | 1.0x | 14 | 20% |
| Parabolic SAR step=0.03, maxStep=0.22 |
-6.7% | -59.6% | -0.04 | -0.11 | 0.7x | 138 | 50% |
| Supertrend period=10, mult=4.3 |
-7.1% | -49.7% | -0.06 | -0.14 | 0.7x | 18 | 51% |
| Donchian 채널 돌파 entryN=7, exitN=26 |
-12.0% | -62.3% | -0.12 | -0.19 | 0.5x | 41 | 68% |
| SMA 크로스오버 fast=51, slow=140 |
-7.3% | -56.4% | -0.13 | -0.13 | 0.7x | 12 | 37% |
| ROC 모멘텀 n=118, threshold=0.06 |
-7.6% | -45.7% | -0.21 | -0.17 | 0.7x | 52 | 33% |
| EMA 크로스오버 fast=12, slow=30 |
-14.0% | -68.0% | -0.35 | -0.21 | 0.4x | 48 | 44% |
| Buy and hold | -15.8% | -75.5% | -0.10 | -0.21 | 0.4x | 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 22-day average + 3.2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 22-day average