Trend-Following Backtester · Guide · backtest 한국어
equity · US
A2Z Cust2Mate Solutions Corp. backtest
10 trend-following strategies were compared on the full daily history of A2Z Cust2Mate Solutions Corp.. 10 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 42.5%, MDD -41.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR 6.7%, drawdown -97.2%).
Sharpe leader (same as main): Parabolic SAR — CAGR 83.7%, MDD -75.2%, Sharpe 1.21, 45% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 77.1%p higher than buy and hold, while drawdown improves by 22.0%p (CAGR 42.5%, MDD -41.4%, 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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.04, maxStep=0.36 |
83.7% | -75.2% | 1.21 | 1.11 | 29.4x | 165 | 45% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=17, mult=2.5 |
42.2% | -44.1% | 1.08 | 0.96 | 7.1x | 12 | 7% |
| 볼린저 밴드 돌파 n=16, k=2.8 |
42.5% | -41.4% | 1.05 | 1.03 | 7.2x | 22 | 11% |
| ROC 모멘텀 n=4, threshold=0.03 |
45.2% | -74.4% | 0.88 | 0.61 | 7.9x | 276 | 34% |
| Supertrend period=11, mult=2.5 |
41.7% | -71.2% | 0.85 | 0.59 | 6.9x | 36 | 40% |
| Donchian 채널 돌파 entryN=11, exitN=13 |
28.3% | -83.8% | 0.69 | 0.34 | 4.0x | 45 | 51% |
| EMA 크로스오버 fast=11, slow=18 |
26.7% | -61.4% | 0.68 | 0.44 | 3.7x | 52 | 42% |
| ADX / DI 방향성 period=36, threshold=13 |
23.8% | -53.3% | 0.67 | 0.45 | 3.3x | 30 | 31% |
| MACD fast=12, slow=56, signal=15 |
14.4% | -69.6% | 0.52 | 0.21 | 2.1x | 71 | 46% |
| SMA 크로스오버 fast=30, slow=144 |
11.9% | -61.6% | 0.47 | 0.19 | 1.9x | 12 | 33% |
| Buy and hold | 6.7% | -97.2% | 0.54 | 0.07 | 1.4x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots