Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Bollore SE backtest
10 trend-following strategies were compared on the full daily history of Bollore SE. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.7%, MDD -40.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 8.7%, drawdown -58.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.7%, MDD -40.7%, Sharpe 0.58, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 18.0%p (CAGR 9.7%, MDD -40.7%, exposure 59%).
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=56, slow=106 |
9.7% | -40.7% | 0.58 | 0.24 | 11.7x | 52 | 59% |
| EMA 크로스오버 fast=48, slow=62 |
9.4% | -45.5% | 0.57 | 0.21 | 11.0x | 56 | 61% |
| Donchian 채널 돌파 entryN=89, exitN=59 |
8.5% | -42.1% | 0.55 | 0.20 | 8.7x | 38 | 53% |
| ROC 모멘텀 n=226, threshold=0.12 |
6.6% | -46.2% | 0.49 | 0.14 | 5.5x | 142 | 43% |
| 볼린저 밴드 돌파 n=54, k=2.6 |
5.4% | -24.6% | 0.48 | 0.22 | 4.0x | 70 | 29% |
| Supertrend period=24, mult=4.4 |
6.0% | -38.7% | 0.40 | 0.16 | 4.7x | 88 | 61% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=17, mult=3.4 |
2.9% | -30.3% | 0.29 | 0.09 | 2.1x | 68 | 23% |
| Parabolic SAR step=0.005, maxStep=0.08 |
3.4% | -64.5% | 0.27 | 0.05 | 2.4x | 216 | 52% |
| ADX / DI 방향성 period=50, threshold=19 |
1.7% | -23.6% | 0.23 | 0.07 | 1.6x | 44 | 11% |
| MACD fast=21, slow=48, signal=20 |
2.2% | -66.1% | 0.21 | 0.03 | 1.8x | 264 | 49% |
| Buy and hold | 8.7% | -58.6% | 0.44 | 0.15 | 9.2x | 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 56-day average price crosses above the 106-day average
- Sell — Sell (to cash) when the 56-day average falls below the 106-day average