Trend-Following Backtester · Guide · backtest 한국어
equity · KR
비에이치아이 backtest
10 trend-following strategies were compared on the full daily history of 비에이치아이. 7 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 14.8%, MDD -63.1%).
Results by strategy
7 of 10 beat buy and hold (CAGR 12.2%, drawdown -93.7%).
Sharpe leader (same as main): MACD — CAGR 23.3%, MDD -69.6%, Sharpe 0.68, 51% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 11.1%p higher than buy and hold, while drawdown improves by 24.0%p (CAGR 14.8%, MDD -63.1%, 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 |
|---|---|---|---|---|---|---|---|
| MACD fast=18, slow=54, signal=11 |
23.3% | -69.6% | 0.68 | 0.33 | 77.2x | 227 | 51% |
| Parabolic SAR step=0.03, maxStep=0.08 |
19.2% | -81.9% | 0.61 | 0.23 | 37.9x | 361 | 46% |
| 볼린저 밴드 돌파 n=16, k=1.5 |
17.8% | -63.4% | 0.61 | 0.28 | 30.2x | 269 | 36% |
| ROC 모멘텀 n=13, threshold=0.03 |
17.4% | -82.8% | 0.58 | 0.21 | 27.8x | 527 | 40% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=15, mult=1.2 |
14.8% | -63.1% | 0.55 | 0.24 | 17.6x | 219 | 27% |
| Supertrend period=17, mult=2.3 |
14.7% | -75.1% | 0.53 | 0.20 | 17.1x | 191 | 46% |
| Donchian 채널 돌파 entryN=11, exitN=30 |
13.5% | -78.4% | 0.50 | 0.17 | 13.9x | 115 | 69% |
| EMA 크로스오버 fast=24, slow=80 |
11.1% | -77.8% | 0.46 | 0.14 | 9.0x | 64 | 47% |
| ADX / DI 방향성 period=27, threshold=11 |
11.0% | -86.8% | 0.46 | 0.13 | 8.7x | 205 | 56% |
| SMA 크로스오버 fast=12, slow=92 |
10.9% | -79.6% | 0.45 | 0.14 | 8.5x | 84 | 47% |
| Buy and hold | 12.2% | -93.7% | 0.50 | 0.13 | 10.8x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (18/54) crosses above its 11-day signal line
- Sell — Sell when the MACD line crosses back below the signal line