Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Boliden AB backtest
10 trend-following strategies were compared on the full daily history of Boliden AB. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 11.8%, MDD -29.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR 11.6%, drawdown -91.6%).
Sharpe leader (same as main): Supertrend — CAGR 21.0%, MDD -45.3%, Sharpe 0.82, 51% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.4%p higher than buy and hold, while drawdown improves by 46.3%p (CAGR 11.8%, MDD -29.3%, exposure 24%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=14, mult=4.1 |
21.0% | -45.3% | 0.82 | 0.46 | 109.2x | 96 | 51% |
| Donchian 채널 돌파 entryN=68, exitN=18 |
17.2% | -44.2% | 0.80 | 0.39 | 49.9x | 78 | 35% |
| 볼린저 밴드 돌파 n=83, k=1.8 |
17.1% | -43.4% | 0.76 | 0.39 | 48.9x | 68 | 41% |
| SMA 크로스오버 fast=33, slow=89 |
19.5% | -56.8% | 0.75 | 0.34 | 80.1x | 64 | 56% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=17, mult=4 |
13.3% | -35.2% | 0.71 | 0.38 | 21.9x | 62 | 29% |
| ADX / DI 방향성 period=25, threshold=19 |
11.8% | -29.3% | 0.69 | 0.40 | 15.6x | 114 | 24% |
| ROC 모멘텀 n=100, threshold=0.06 |
15.8% | -42.8% | 0.68 | 0.37 | 37.2x | 170 | 48% |
| EMA 크로스오버 fast=7, slow=47 |
15.3% | -56.1% | 0.63 | 0.27 | 33.1x | 172 | 56% |
| MACD fast=23, slow=64, signal=23 |
14.4% | -73.5% | 0.59 | 0.20 | 27.3x | 190 | 52% |
| Parabolic SAR step=0.005, maxStep=0.34 |
5.8% | -75.7% | 0.34 | 0.08 | 4.0x | 214 | 52% |
| Buy and hold | 11.6% | -91.6% | 0.47 | 0.13 | 15.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 14-day volatility, 4.1× band
- Sell — Sell when price drops below the trend line (flips down)