Trend-Following Backtester · Guide · backtest 한국어
equity · US
Blue Bird Corporation backtest
10 trend-following strategies were compared on the full daily history of Blue Bird Corporation. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 18.2%, MDD -42.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 15.5%, drawdown -74.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 18.2%, MDD -42.0%, Sharpe 0.63, 63% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 32.2%p (CAGR 18.2%, MDD -42.0%, exposure 63%).
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=148, threshold=-0.02 |
18.2% | -42.0% | 0.63 | 0.43 | 8.0x | 71 | 63% |
| Supertrend period=11, mult=4.5 |
15.1% | -50.2% | 0.57 | 0.30 | 5.8x | 44 | 59% |
| Donchian 채널 돌파 entryN=63, exitN=63 |
13.7% | -49.9% | 0.54 | 0.28 | 5.0x | 26 | 54% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=30, mult=1.4 |
12.3% | -37.8% | 0.53 | 0.33 | 4.2x | 84 | 44% |
| SMA 크로스오버 fast=27, slow=174 |
13.1% | -49.3% | 0.52 | 0.27 | 4.7x | 25 | 60% |
| Parabolic SAR step=0.005, maxStep=0.34 |
12.9% | -45.6% | 0.52 | 0.28 | 4.5x | 98 | 54% |
| 볼린저 밴드 돌파 n=42, k=1.6 |
10.2% | -44.4% | 0.48 | 0.23 | 3.3x | 78 | 39% |
| EMA 크로스오버 fast=51, slow=199 |
11.0% | -54.6% | 0.46 | 0.20 | 3.7x | 21 | 59% |
| ADX / DI 방향성 period=26, threshold=15 |
8.4% | -37.4% | 0.41 | 0.22 | 2.7x | 104 | 37% |
| MACD fast=19, slow=25, signal=16 |
8.3% | -51.7% | 0.40 | 0.16 | 2.7x | 156 | 48% |
| Buy and hold | 15.5% | -74.2% | 0.54 | 0.21 | 6.0x | 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 148-day return is greater than -2%
- Sell — Sell when the 148-day return drops to -2% or below