Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Befesa SA backtest
10 trend-following strategies were compared on the full daily history of Befesa SA. 10 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 3.2%, MDD -12.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.7%, drawdown -75.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.8%, MDD -22.9%, Sharpe 0.62, 9% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 9.3%, MDD -27.1%, exposure 34%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.5%p higher than buy and hold, while drawdown improves by 52.6%p (CAGR 3.2%, MDD -12.6%, exposure 4%).
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=27, k=2.8 |
6.8% | -22.9% | 0.62 | 0.30 | 1.8x | 10 | 9% |
| EMA 크로스오버 fast=92, slow=211 |
9.3% | -27.1% | 0.55 | 0.34 | 2.1x | 3 | 34% |
| ROC 모멘텀 n=166, threshold=0.28 |
5.1% | -23.9% | 0.49 | 0.21 | 1.5x | 26 | 14% |
| ADX / DI 방향성 period=17, threshold=36 |
3.2% | -12.6% | 0.49 | 0.25 | 1.3x | 8 | 4% |
| MACD fast=6, slow=52, signal=11 |
6.2% | -41.3% | 0.37 | 0.15 | 1.7x | 163 | 49% |
| Donchian 채널 돌파 entryN=33, exitN=72 |
5.7% | -50.6% | 0.34 | 0.11 | 1.6x | 17 | 65% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=8, mult=3.8 |
3.0% | -18.4% | 0.33 | 0.16 | 1.3x | 8 | 8% |
| Parabolic SAR step=0.015, maxStep=0.16 |
4.7% | -50.3% | 0.31 | 0.09 | 1.5x | 139 | 51% |
| SMA 크로스오버 fast=28, slow=46 |
4.5% | -50.6% | 0.30 | 0.09 | 1.5x | 50 | 50% |
| Supertrend period=34, mult=1.7 |
1.9% | -39.7% | 0.20 | 0.05 | 1.2x | 127 | 53% |
| Buy and hold | -1.7% | -75.5% | 0.13 | -0.02 | 0.9x | 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 27-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 27-day middle average