Trend-Following Backtester · Guide · backtest 한국어
equity · BE
Groupe Bruxelles Lambert SA backtest
10 trend-following strategies were compared on the full daily history of Groupe Bruxelles Lambert SA. 3 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 2.4%, MDD -34.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 1.1%, drawdown -57.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.5%, MDD -5.6%, Sharpe 0.37, 1% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 2.5%, MDD -34.7%, exposure 57%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 52.1%p (CAGR 2.4%, MDD -34.4%, exposure 55%).
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=26, k=3.5 |
0.5% | -5.6% | 0.37 | 0.09 | 1.1x | 2 | 1% |
| ADX / DI 방향성 period=27, threshold=33 |
0.5% | -6.2% | 0.28 | 0.07 | 1.1x | 4 | 1% |
| EMA 크로스오버 fast=31, slow=114 |
2.5% | -34.7% | 0.26 | 0.07 | 1.9x | 48 | 57% |
| Donchian 채널 돌파 entryN=64, exitN=74 |
2.4% | -34.4% | 0.26 | 0.07 | 1.8x | 37 | 55% |
| SMA 크로스오버 fast=16, slow=204 |
2.4% | -34.9% | 0.25 | 0.07 | 1.8x | 46 | 57% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=14, mult=4 |
-0.0% | -12.1% | 0.01 | -0.00 | 1.0x | 12 | 2% |
| Supertrend period=11, mult=4.4 |
-0.9% | -68.2% | -0.02 | -0.01 | 0.8x | 93 | 54% |
| ROC 모멘텀 n=115, threshold=0 |
-1.0% | -63.4% | -0.03 | -0.02 | 0.8x | 210 | 56% |
| MACD fast=15, slow=47, signal=19 |
-4.3% | -81.2% | -0.24 | -0.05 | 0.3x | 299 | 53% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-5.0% | -86.4% | -0.28 | -0.06 | 0.3x | 234 | 58% |
| Buy and hold | 1.1% | -57.7% | 0.16 | 0.02 | 1.3x | 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 26-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 26-day middle average