Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Frasle Mobility S.A. backtest
10 trend-following strategies were compared on the full daily history of Frasle Mobility S.A.. 1 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 8.0%, MDD -51.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.2%, drawdown -81.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.0%, MDD -51.2%, Sharpe 0.41, 27% exposure.
CAGR reference leader: MACD — CAGR 11.0%, MDD -85.8%, exposure 51%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.2%p lower than buy and hold, while drawdown improves by 30.7%p (CAGR 8.0%, MDD -51.2%, exposure 27%).
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=31, k=2.7 |
8.0% | -51.2% | 0.41 | 0.16 | 4.4x | 53 | 27% |
| SMA 크로스오버 fast=17, slow=37 |
9.5% | -66.2% | 0.39 | 0.14 | 5.8x | 109 | 37% |
| MACD fast=18, slow=42, signal=24 |
11.0% | -85.8% | 0.37 | 0.13 | 7.4x | 131 | 51% |
| ROC 모멘텀 n=30, threshold=0.18 |
7.4% | -56.4% | 0.37 | 0.13 | 4.0x | 80 | 8% |
| ADX / DI 방향성 period=18, threshold=30 |
5.6% | -32.7% | 0.33 | 0.17 | 2.8x | 54 | 19% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=8, mult=3.5 |
5.1% | -51.1% | 0.30 | 0.10 | 2.6x | 30 | 18% |
| Supertrend period=5, mult=4.2 |
4.1% | -73.3% | 0.28 | 0.06 | 2.2x | 61 | 49% |
| Donchian 채널 돌파 entryN=53, exitN=65 |
2.9% | -86.4% | 0.27 | 0.03 | 1.7x | 37 | 69% |
| Parabolic SAR step=0.005, maxStep=0.16 |
2.5% | -84.3% | 0.23 | 0.03 | 1.6x | 99 | 53% |
| EMA 크로스오버 fast=15, slow=217 |
-1.3% | -76.1% | 0.18 | -0.02 | 0.8x | 29 | 53% |
| Buy and hold | 10.2% | -81.9% | 0.39 | 0.12 | 6.5x | 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 31-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 31-day middle average