Trend-Following Backtester · Guide · backtest 한국어
equity · SG
Bumitama Agri Ltd. backtest
10 trend-following strategies were compared on the full daily history of Bumitama Agri Ltd.. 0 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 5.1%, MDD -20.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 5.8%, drawdown -71.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 5.1%, MDD -20.5%, Sharpe 0.46, 12% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 50.7%p (CAGR 5.1%, MDD -20.5%, exposure 12%).
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=31, atrPeriod=26, mult=4 |
5.1% | -20.5% | 0.46 | 0.25 | 2.0x | 21 | 12% |
| 볼린저 밴드 돌파 n=30, k=3.2 |
4.6% | -30.4% | 0.45 | 0.15 | 1.9x | 27 | 10% |
| EMA 크로스오버 fast=18, slow=137 |
5.0% | -51.8% | 0.33 | 0.10 | 2.0x | 35 | 42% |
| Supertrend period=22, mult=4.8 |
4.7% | -45.2% | 0.32 | 0.10 | 1.9x | 41 | 41% |
| SMA 크로스오버 fast=17, slow=60 |
4.8% | -52.6% | 0.32 | 0.09 | 2.0x | 79 | 48% |
| Donchian 채널 돌파 entryN=36, exitN=72 |
4.8% | -56.3% | 0.31 | 0.09 | 2.0x | 35 | 64% |
| MACD fast=17, slow=37, signal=18 |
2.8% | -52.2% | 0.24 | 0.05 | 1.5x | 169 | 50% |
| Parabolic SAR step=0.015, maxStep=0.36 |
2.7% | -53.0% | 0.23 | 0.05 | 1.5x | 187 | 49% |
| ADX / DI 방향성 period=24, threshold=26 |
1.5% | -34.5% | 0.19 | 0.04 | 1.2x | 42 | 15% |
| ROC 모멘텀 n=76, threshold=0 |
-1.5% | -72.2% | 0.04 | -0.02 | 0.8x | 177 | 47% |
| Buy and hold | 5.8% | -71.3% | 0.34 | 0.08 | 2.2x | 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 31-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 31-day average