Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Bufab AB backtest
10 trend-following strategies were compared on the full daily history of Bufab AB. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 26.0%, MDD -39.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 23.4%, drawdown -57.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 26.0%, MDD -39.0%, Sharpe 0.85, 95% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 18.1%p (CAGR 26.0%, MDD -39.0%, exposure 95%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=11, threshold=-0.1 |
26.0% | -39.0% | 0.85 | 0.67 | 17.8x | 69 | 95% |
| SMA 크로스오버 fast=33, slow=78 |
18.7% | -33.3% | 0.76 | 0.56 | 8.4x | 33 | 62% |
| Donchian 채널 돌파 entryN=54, exitN=70 |
18.8% | -33.5% | 0.75 | 0.56 | 8.5x | 17 | 67% |
| EMA 크로스오버 fast=19, slow=140 |
16.4% | -34.7% | 0.68 | 0.47 | 6.6x | 25 | 66% |
| Supertrend period=15, mult=4.1 |
15.1% | -33.5% | 0.67 | 0.45 | 5.8x | 43 | 57% |
| ADX / DI 방향성 period=20, threshold=12 |
13.2% | -33.4% | 0.61 | 0.40 | 4.7x | 167 | 52% |
| MACD fast=12, slow=41, signal=19 |
9.8% | -45.7% | 0.50 | 0.21 | 3.2x | 153 | 49% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=28, mult=1 |
8.0% | -50.7% | 0.43 | 0.16 | 2.6x | 101 | 53% |
| 볼린저 밴드 돌파 n=38, k=1.2 |
7.1% | -41.8% | 0.40 | 0.17 | 2.3x | 117 | 48% |
| Parabolic SAR step=0.02, maxStep=0.12 |
5.4% | -52.2% | 0.33 | 0.10 | 1.9x | 239 | 51% |
| Buy and hold | 23.4% | -57.1% | 0.76 | 0.41 | 13.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 11-day return is greater than -10%
- Sell — Sell when the 11-day return drops to -10% or below