Trend-Following Backtester · Guide · backtest 한국어
equity · US
Atlanticus Holdings Corporation backtest
10 trend-following strategies were compared on the full daily history of Atlanticus Holdings Corporation. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 14.0%, MDD -69.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 6.9%, drawdown -98.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.9%, MDD -91.0%, Sharpe 0.53, 76% exposure.
CAGR reference leader: Parabolic SAR — CAGR 14.0%, MDD -69.8%, exposure 47%.
Return/drawdown alternative: Parabolic SAR — CAGR is 7.0%p higher than buy and hold, while drawdown improves by 7.2%p (CAGR 14.0%, MDD -69.8%, exposure 47%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=9, exitN=38 |
13.9% | -91.0% | 0.53 | 0.15 | 35.5x | 117 | 76% |
| Parabolic SAR step=0.005, maxStep=0.24 |
14.0% | -69.8% | 0.51 | 0.20 | 36.4x | 202 | 47% |
| Supertrend period=10, mult=4.5 |
12.5% | -85.0% | 0.49 | 0.15 | 25.2x | 89 | 57% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=19, mult=1.7 |
11.2% | -79.5% | 0.47 | 0.14 | 18.1x | 140 | 35% |
| EMA 크로스오버 fast=17, slow=186 |
10.1% | -85.1% | 0.44 | 0.12 | 13.9x | 57 | 47% |
| ROC 모멘텀 n=182, threshold=0.07 |
10.1% | -78.4% | 0.44 | 0.13 | 13.9x | 197 | 45% |
| SMA 크로스오버 fast=12, slow=32 |
8.9% | -85.5% | 0.42 | 0.10 | 10.3x | 246 | 51% |
| 볼린저 밴드 돌파 n=25, k=2 |
9.0% | -83.3% | 0.42 | 0.11 | 10.5x | 206 | 30% |
| MACD fast=17, slow=25, signal=17 |
6.7% | -96.1% | 0.38 | 0.07 | 5.9x | 378 | 51% |
| ADX / DI 방향성 period=27, threshold=13 |
3.7% | -89.4% | 0.31 | 0.04 | 2.7x | 268 | 41% |
| Buy and hold | 6.9% | -98.2% | 0.46 | 0.07 | 6.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 9 days
- Sell — Sell when price breaks below the lowest low of the last 38 days