Trend-Following Backtester · Guide · backtest 한국어
equity · US
Albany International Corporation backtest
10 trend-following strategies were compared on the full daily history of Albany International Corporation. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 6.2%, MDD -55.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.4%, drawdown -88.1%).
Sharpe leader (same as main): Supertrend — CAGR 6.2%, MDD -55.8%, Sharpe 0.36, 57% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 32.3%p (CAGR 6.2%, MDD -55.8%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=22, mult=5 |
6.2% | -55.8% | 0.36 | 0.11 | 10.3x | 120 | 57% |
| SMA 크로스오버 fast=38, slow=86 |
4.3% | -70.2% | 0.29 | 0.06 | 5.1x | 123 | 56% |
| ADX / DI 방향성 period=27, threshold=50 |
0.2% | -0.5% | 0.24 | 0.32 | 1.1x | 2 | 0% |
| Donchian 채널 돌파 entryN=49, exitN=79 |
2.6% | -71.6% | 0.23 | 0.04 | 2.7x | 81 | 67% |
| 볼린저 밴드 돌파 n=49, k=3.4 |
1.6% | -41.2% | 0.22 | 0.04 | 1.9x | 34 | 8% |
| EMA 크로스오버 fast=40, slow=47 |
2.4% | -70.2% | 0.22 | 0.03 | 2.5x | 132 | 58% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=34, mult=3.7 |
0.7% | -30.9% | 0.13 | 0.02 | 1.3x | 42 | 4% |
| ROC 모멘텀 n=85, threshold=-0.03 |
-0.6% | -83.4% | 0.10 | -0.01 | 0.8x | 385 | 64% |
| MACD fast=15, slow=69, signal=19 |
-2.3% | -84.6% | 0.03 | -0.03 | 0.4x | 460 | 50% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-2.3% | -87.1% | 0.03 | -0.03 | 0.4x | 322 | 53% |
| Buy and hold | 3.4% | -88.1% | 0.27 | 0.04 | 3.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 22-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)