Trend-Following Backtester · Guide · backtest 한국어
equity · US
ATN International, Inc. backtest
10 trend-following strategies were compared on the full daily history of ATN International, Inc.. 4 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 4.3%, MDD -20.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 2.8%, drawdown -84.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.3%, MDD -20.7%, Sharpe 0.44, 6% exposure.
CAGR reference leader: MACD — CAGR 4.7%, MDD -91.7%, exposure 51%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 63.4%p (CAGR 4.3%, MDD -20.7%, exposure 6%).
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=10, atrPeriod=27, mult=3.5 |
4.3% | -20.7% | 0.44 | 0.21 | 4.4x | 56 | 6% |
| 볼린저 밴드 돌파 n=52, k=3.4 |
4.4% | -44.4% | 0.34 | 0.10 | 4.4x | 50 | 15% |
| MACD fast=26, slow=52, signal=24 |
4.7% | -91.7% | 0.30 | 0.05 | 4.9x | 266 | 51% |
| Donchian 채널 돌파 entryN=101, exitN=6 |
3.1% | -64.9% | 0.26 | 0.05 | 2.9x | 124 | 11% |
| ADX / DI 방향성 period=15, threshold=49 |
1.3% | -33.3% | 0.19 | 0.04 | 1.6x | 40 | 4% |
| Supertrend period=4, mult=4.4 |
1.0% | -90.9% | 0.19 | 0.01 | 1.4x | 172 | 52% |
| SMA 크로스오버 fast=20, slow=48 |
-0.1% | -87.7% | 0.15 | -0.00 | 1.0x | 202 | 52% |
| Parabolic SAR step=0.025, maxStep=0.16 |
-0.9% | -94.7% | 0.14 | -0.01 | 0.7x | 739 | 51% |
| EMA 크로스오버 fast=33, slow=146 |
-1.2% | -89.9% | 0.11 | -0.01 | 0.7x | 72 | 50% |
| ROC 모멘텀 n=84, threshold=0.26 |
-0.9% | -70.2% | 0.04 | -0.01 | 0.7x | 162 | 13% |
| Buy and hold | 2.8% | -84.1% | 0.30 | 0.03 | 2.6x | 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 10-day average + 3.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 10-day average