Trend-Following Backtester · Guide · backtest 한국어
equity · GR
Ballys Intralot S.A. backtest
10 trend-following strategies were compared on the full daily history of Ballys Intralot S.A.. 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 3.0%, MDD -26.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.5%, drawdown -99.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.6%, MDD -38.8%, Sharpe 0.53, 7% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.7%, MDD -64.8%, exposure 48%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.1%p higher than buy and hold, while drawdown improves by 60.7%p (CAGR 3.0%, MDD -26.1%, exposure 3%).
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=25, k=3.4 |
7.6% | -38.8% | 0.53 | 0.20 | 7.2x | 22 | 7% |
| SMA 크로스오버 fast=75, slow=199 |
9.7% | -64.8% | 0.45 | 0.15 | 12.0x | 35 | 48% |
| ADX / DI 방향성 period=26, threshold=37 |
3.0% | -26.1% | 0.39 | 0.11 | 2.2x | 12 | 3% |
| Donchian 채널 돌파 entryN=69, exitN=78 |
6.9% | -62.6% | 0.37 | 0.11 | 5.9x | 33 | 53% |
| Parabolic SAR step=0.01, maxStep=0.14 |
6.0% | -81.8% | 0.34 | 0.07 | 4.7x | 309 | 53% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=21, mult=3.6 |
4.9% | -54.7% | 0.32 | 0.09 | 3.6x | 66 | 18% |
| EMA 크로스오버 fast=43, slow=134 |
4.7% | -72.5% | 0.30 | 0.07 | 3.4x | 47 | 46% |
| ROC 모멘텀 n=111, threshold=-0.02 |
2.9% | -79.1% | 0.25 | 0.04 | 2.2x | 249 | 52% |
| MACD fast=10, slow=48, signal=12 |
2.1% | -80.2% | 0.23 | 0.03 | 1.7x | 392 | 50% |
| Supertrend period=13, mult=5 |
-1.1% | -85.7% | 0.13 | -0.01 | 0.7x | 94 | 47% |
| Buy and hold | -3.5% | -99.5% | 0.19 | -0.03 | 0.4x | 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 25-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 25-day middle average