Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Boyd Group Services Inc backtest
10 trend-following strategies were compared on the full daily history of Boyd Group Services Inc. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 21.6%, MDD -56.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 15.9%, drawdown -91.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 12.4%, MDD -60.8%, Sharpe 0.58, 67% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 21.6%, MDD -56.5%, exposure 80%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.5%p lower than buy and hold, while drawdown improves by 30.7%p (CAGR 21.6%, MDD -56.5%, exposure 80%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=6, slow=166 |
12.4% | -60.8% | 0.58 | 0.20 | 23.1x | 86 | 67% |
| Keltner 채널 돌파 emaPeriod=89, atrPeriod=26, mult=2.3 |
11.3% | -52.8% | 0.58 | 0.21 | 17.7x | 84 | 52% |
| ADX / DI 방향성 period=50, threshold=6 |
10.9% | -40.7% | 0.58 | 0.27 | 16.0x | 166 | 56% |
| SMA 크로스오버 fast=4, slow=155 |
12.5% | -61.1% | 0.57 | 0.21 | 23.7x | 94 | 66% |
| ROC 모멘텀 n=167, threshold=0.02 |
11.3% | -64.4% | 0.54 | 0.18 | 17.6x | 162 | 66% |
| Supertrend period=25, mult=4 |
10.1% | -75.0% | 0.49 | 0.13 | 13.1x | 100 | 63% |
| Parabolic SAR step=0.01, maxStep=0.16 |
9.2% | -68.7% | 0.45 | 0.13 | 10.6x | 312 | 58% |
| 볼린저 밴드 돌파 n=43, k=1.5 |
7.2% | -46.3% | 0.42 | 0.16 | 6.4x | 166 | 44% |
| Donchian 채널 돌파 entryN=21, exitN=58 |
21.6% | -56.5% | 0.42 | 0.38 | 187.2x | 52 | 80% |
| MACD fast=39, slow=59, signal=22 |
2.0% | -79.9% | 0.21 | 0.02 | 1.7x | 194 | 51% |
| Buy and hold | 15.9% | -91.5% | 0.38 | 0.17 | 52.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 6-day EMA crosses above the 166-day EMA
- Sell — Sell when the 6-day EMA falls below the 166-day EMA