Trend-Following Backtester · Guide · backtest 한국어
equity · US
Bowman Consulting Group Ltd. backtest
10 trend-following strategies were compared on the full daily history of Bowman Consulting Group Ltd.. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 22.7%, MDD -31.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 23.2%, drawdown -56.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 19.3%, MDD -26.8%, Sharpe 1.06, 23% exposure.
CAGR reference leader: MACD — CAGR 29.5%, MDD -54.2%, exposure 51%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.9%p lower than buy and hold, while drawdown improves by 29.4%p (CAGR 22.7%, MDD -31.8%, exposure 34%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=28, k=3 |
19.3% | -26.8% | 1.06 | 0.72 | 2.6x | 13 | 23% |
| ADX / DI 방향성 period=16, threshold=31 |
13.9% | -10.6% | 1.05 | 1.31 | 2.0x | 15 | 13% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=11, mult=1.4 |
22.7% | -31.8% | 0.95 | 0.71 | 3.0x | 35 | 34% |
| MACD fast=14, slow=57, signal=14 |
29.5% | -54.2% | 0.84 | 0.54 | 4.0x | 59 | 51% |
| Supertrend period=23, mult=2.7 |
21.3% | -36.9% | 0.80 | 0.58 | 2.8x | 25 | 48% |
| Parabolic SAR step=0.015, maxStep=0.3 |
23.3% | -39.7% | 0.70 | 0.59 | 3.0x | 95 | 50% |
| Donchian 채널 돌파 entryN=85, exitN=28 |
15.6% | -28.4% | 0.67 | 0.55 | 2.2x | 9 | 35% |
| SMA 크로스오버 fast=43, slow=188 |
13.6% | -31.2% | 0.57 | 0.44 | 2.0x | 8 | 44% |
| ROC 모멘텀 n=94, threshold=0.13 |
12.1% | -32.4% | 0.55 | 0.38 | 1.8x | 37 | 35% |
| EMA 크로스오버 fast=43, slow=107 |
11.7% | -48.7% | 0.50 | 0.24 | 1.8x | 11 | 49% |
| Buy and hold | 23.2% | -56.2% | 0.65 | 0.41 | 3.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 28-day average (3× volatility)
- Sell — Sell when the close falls back to the 28-day middle average