Trend-Following Backtester · Guide · backtest 한국어
equity · CA
BCE Inc. backtest
10 trend-following strategies were compared on the full daily history of BCE Inc.. 8 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 1.8%, MDD -14.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 0.4%, drawdown -89.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.9%, MDD -22.7%, Sharpe 0.39, 10% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 3.4%, MDD -45.2%, exposure 47%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 66.6%p (CAGR 1.8%, MDD -14.3%, exposure 3%).
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=56, k=3.3 |
2.9% | -22.7% | 0.39 | 0.13 | 2.4x | 22 | 10% |
| ADX / DI 방향성 period=28, threshold=33 |
1.8% | -14.3% | 0.33 | 0.13 | 1.7x | 10 | 3% |
| Donchian 채널 돌파 entryN=90, exitN=48 |
3.4% | -45.2% | 0.32 | 0.08 | 2.8x | 60 | 47% |
| SMA 크로스오버 fast=27, slow=65 |
3.1% | -66.1% | 0.27 | 0.05 | 2.5x | 136 | 56% |
| Supertrend period=12, mult=5 |
2.6% | -57.1% | 0.25 | 0.04 | 2.2x | 96 | 49% |
| ROC 모멘텀 n=44, threshold=0.13 |
1.4% | -39.2% | 0.20 | 0.04 | 1.5x | 106 | 7% |
| EMA 크로스오버 fast=46, slow=204 |
0.6% | -85.1% | 0.20 | 0.01 | 1.2x | 30 | 53% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=12, mult=3.7 |
1.2% | -54.1% | 0.16 | 0.02 | 1.4x | 68 | 16% |
| MACD fast=19, slow=53, signal=24 |
-2.2% | -89.5% | -0.05 | -0.02 | 0.5x | 310 | 53% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-3.4% | -89.3% | -0.13 | -0.04 | 0.3x | 264 | 55% |
| Buy and hold | 0.4% | -89.4% | 0.20 | 0.00 | 1.1x | 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 56-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 56-day middle average