Trend-Following Backtester · Guide · backtest 한국어
equity · DK
Trifork Group AG backtest
10 trend-following strategies were compared on the full daily history of Trifork Group AG. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -1.1%, MDD -21.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.1%, drawdown -76.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.4%, MDD -24.7%, Sharpe 0.54, 14% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 18.5%p higher than buy and hold, while drawdown improves by 52.2%p (CAGR -1.1%, MDD -21.8%, exposure 8%).
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=49, k=2.8 |
8.4% | -24.7% | 0.54 | 0.34 | 1.5x | 7 | 14% |
| Supertrend period=29, mult=2.9 |
4.9% | -35.2% | 0.32 | 0.14 | 1.3x | 25 | 41% |
| SMA 크로스오버 fast=50, slow=72 |
4.4% | -41.3% | 0.30 | 0.11 | 1.2x | 17 | 39% |
| Donchian 채널 돌파 entryN=59, exitN=32 |
3.8% | -34.9% | 0.29 | 0.11 | 1.2x | 9 | 25% |
| EMA 크로스오버 fast=19, slow=40 |
2.7% | -47.6% | 0.23 | 0.06 | 1.2x | 17 | 36% |
| ROC 모멘텀 n=57, threshold=0.1 |
2.0% | -36.2% | 0.20 | 0.06 | 1.1x | 41 | 20% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=11, mult=1.4 |
1.8% | -39.5% | 0.19 | 0.05 | 1.1x | 25 | 27% |
| ADX / DI 방향성 period=20, threshold=28 |
-1.1% | -21.8% | -0.01 | -0.05 | 0.9x | 9 | 8% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-5.1% | -58.6% | -0.08 | -0.09 | 0.8x | 37 | 43% |
| MACD fast=16, slow=41, signal=10 |
-9.1% | -58.3% | -0.22 | -0.16 | 0.6x | 73 | 49% |
| Buy and hold | -10.1% | -76.9% | -0.10 | -0.13 | 0.6x | 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 49-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 49-day middle average