Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ardagh Metal Packaging S.A. backtest
10 trend-following strategies were compared on the full daily history of Ardagh Metal Packaging S.A.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.5%, MDD -6.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -13.6%, drawdown -79.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.5%, MDD -6.9%, Sharpe 0.78, 4% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 18.2%p higher than buy and hold, while drawdown improves by 72.5%p (CAGR 4.5%, MDD -6.9%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=14, k=3.3 |
4.5% | -6.9% | 0.78 | 0.66 | 1.3x | 2 | 4% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=19, mult=4 |
4.5% | -6.9% | 0.78 | 0.66 | 1.3x | 2 | 4% |
| ROC 모멘텀 n=16, threshold=0.22 |
2.3% | -6.9% | 0.51 | 0.33 | 1.1x | 4 | 2% |
| EMA 크로스오버 fast=55, slow=259 |
4.3% | -30.0% | 0.32 | 0.14 | 1.2x | 3 | 25% |
| Donchian 채널 돌파 entryN=38, exitN=18 |
4.0% | -33.7% | 0.28 | 0.12 | 1.2x | 15 | 26% |
| ADX / DI 방향성 period=17, threshold=32 |
1.6% | -19.8% | 0.20 | 0.08 | 1.1x | 9 | 8% |
| Supertrend period=36, mult=4.6 |
-4.8% | -54.7% | -0.05 | -0.09 | 0.8x | 15 | 39% |
| SMA 크로스오버 fast=16, slow=42 |
-5.0% | -40.6% | -0.09 | -0.12 | 0.8x | 27 | 40% |
| MACD fast=14, slow=58, signal=8 |
-8.5% | -53.0% | -0.15 | -0.16 | 0.6x | 74 | 55% |
| Parabolic SAR step=0.045, maxStep=0.1 |
-12.2% | -69.9% | -0.29 | -0.17 | 0.5x | 124 | 48% |
| Buy and hold | -13.6% | -79.3% | -0.13 | -0.17 | 0.5x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 14-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 14-day middle average