Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Societe BIC SA backtest
10 trend-following strategies were compared on the full daily history of Societe BIC SA. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 3.3%, MDD -42.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 1.6%, drawdown -75.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.3%, MDD -42.9%, Sharpe 0.27, 54% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 32.3%p (CAGR 3.3%, MDD -42.9%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=73, slow=236 |
3.3% | -42.9% | 0.27 | 0.08 | 2.4x | 27 | 54% |
| EMA 크로스오버 fast=72, slow=243 |
2.3% | -53.1% | 0.22 | 0.04 | 1.8x | 25 | 53% |
| Donchian 채널 돌파 entryN=87, exitN=50 |
2.2% | -50.6% | 0.21 | 0.04 | 1.8x | 43 | 47% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=18, mult=3.3 |
0.6% | -14.2% | 0.16 | 0.04 | 1.2x | 23 | 3% |
| ADX / DI 방향성 period=36, threshold=32 |
0.1% | -7.8% | 0.07 | 0.02 | 1.0x | 2 | 0% |
| ROC 모멘텀 n=131, threshold=-0.05 |
-1.2% | -73.8% | 0.04 | -0.02 | 0.7x | 167 | 64% |
| Supertrend period=13, mult=3.8 |
-1.3% | -50.0% | 0.01 | -0.03 | 0.7x | 119 | 50% |
| 볼린저 밴드 돌파 n=14, k=3.5 |
-0.1% | -5.6% | -0.06 | -0.01 | 1.0x | 4 | 0% |
| MACD fast=10, slow=61, signal=12 |
-6.7% | -89.0% | -0.29 | -0.07 | 0.2x | 417 | 51% |
| Parabolic SAR step=0.015, maxStep=0.2 |
-6.9% | -88.5% | -0.29 | -0.08 | 0.1x | 445 | 51% |
| Buy and hold | 1.6% | -75.3% | 0.19 | 0.02 | 1.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 73-day average price crosses above the 236-day average
- Sell — Sell (to cash) when the 73-day average falls below the 236-day average