Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Black Diamond Group Limited backtest
10 trend-following strategies were compared on the full daily history of Black Diamond Group Limited. 9 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 17.5%, MDD -38.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR 4.6%, drawdown -97.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 17.5%, MDD -38.7%, Sharpe 0.79, 45% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 19.9%, MDD -53.6%, exposure 72%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 12.8%p higher than buy and hold, while drawdown improves by 58.6%p (CAGR 17.5%, MDD -38.7%, exposure 45%).
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=63, k=1.4 |
17.5% | -38.7% | 0.79 | 0.45 | 18.4x | 64 | 45% |
| EMA 크로스오버 fast=10, slow=252 |
17.8% | -47.1% | 0.78 | 0.38 | 19.3x | 29 | 60% |
| SMA 크로스오버 fast=28, slow=78 |
18.6% | -58.7% | 0.77 | 0.32 | 21.9x | 52 | 58% |
| ROC 모멘텀 n=73, threshold=-0.09 |
19.9% | -53.6% | 0.73 | 0.37 | 26.5x | 99 | 72% |
| Supertrend period=19, mult=3.4 |
16.1% | -49.0% | 0.66 | 0.33 | 14.8x | 89 | 55% |
| Donchian 채널 돌파 entryN=86, exitN=52 |
14.5% | -70.6% | 0.66 | 0.20 | 11.6x | 31 | 53% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=33, mult=1.3 |
13.4% | -47.2% | 0.63 | 0.28 | 9.7x | 150 | 43% |
| ADX / DI 방향성 period=31, threshold=8 |
12.4% | -68.6% | 0.57 | 0.18 | 8.3x | 180 | 51% |
| Parabolic SAR step=0.015, maxStep=0.38 |
10.0% | -72.9% | 0.46 | 0.14 | 5.6x | 288 | 54% |
| MACD fast=14, slow=32, signal=18 |
2.7% | -85.6% | 0.24 | 0.03 | 1.6x | 238 | 49% |
| Buy and hold | 4.6% | -97.3% | 0.32 | 0.05 | 2.3x | 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 63-day average (1.4× volatility)
- Sell — Sell when the close falls back to the 63-day middle average