Trend-Following Backtester · Guide · backtest 한국어
equity · GB
BOKU, Inc. backtest
10 trend-following strategies were compared on the full daily history of BOKU, Inc.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 18.7%, MDD -16.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR 3.4%, drawdown -73.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 18.7%, MDD -16.3%, Sharpe 1.09, 27% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 21.0%, MDD -39.4%, exposure 52%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 15.3%p higher than buy and hold, while drawdown improves by 57.0%p (CAGR 18.7%, MDD -16.3%, exposure 27%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=22, mult=3.4 |
18.7% | -16.3% | 1.09 | 1.15 | 4.4x | 16 | 27% |
| 볼린저 밴드 돌파 n=54, k=2.1 |
19.5% | -22.3% | 1.03 | 0.87 | 4.7x | 24 | 33% |
| Donchian 채널 돌파 entryN=69, exitN=27 |
17.8% | -23.5% | 0.95 | 0.76 | 4.2x | 20 | 36% |
| SMA 크로스오버 fast=43, slow=62 |
21.0% | -39.4% | 0.88 | 0.53 | 5.2x | 30 | 52% |
| ROC 모멘텀 n=63, threshold=0.1 |
15.8% | -44.4% | 0.81 | 0.36 | 3.6x | 64 | 36% |
| ADX / DI 방향성 period=44, threshold=7 |
17.7% | -32.6% | 0.78 | 0.54 | 4.1x | 62 | 60% |
| EMA 크로스오버 fast=51, slow=54 |
16.1% | -36.7% | 0.73 | 0.44 | 3.7x | 20 | 57% |
| Parabolic SAR step=0.045, maxStep=0.28 |
15.5% | -53.7% | 0.64 | 0.29 | 3.5x | 254 | 51% |
| MACD fast=4, slow=26, signal=7 |
15.2% | -41.0% | 0.64 | 0.37 | 3.4x | 229 | 47% |
| Supertrend period=7, mult=1.8 |
9.9% | -52.1% | 0.47 | 0.19 | 2.3x | 115 | 53% |
| Buy and hold | 3.4% | -73.4% | 0.29 | 0.05 | 1.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 46-day average + 3.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 46-day average