Trend-Following Backtester · Guide · backtest 한국어
equity · US
Strategy Inc backtest
10 trend-following strategies were compared on the full daily history of Strategy Inc. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
10 of 10 beat buy and hold (CAGR 9.4%, drawdown -99.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 22.6%, MDD -89.3%, Sharpe 0.67, 43% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=1.2 |
22.6% | -89.3% | 0.67 | 0.25 | 310.9x | 279 | 43% |
| EMA 크로스오버 fast=7, slow=169 |
21.6% | -83.1% | 0.65 | 0.26 | 247.3x | 94 | 52% |
| SMA 크로스오버 fast=16, slow=158 |
21.0% | -88.7% | 0.64 | 0.24 | 219.2x | 66 | 52% |
| Donchian 채널 돌파 entryN=42, exitN=17 |
19.2% | -84.1% | 0.64 | 0.23 | 142.9x | 113 | 39% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=26, mult=3.4 |
17.4% | -83.4% | 0.62 | 0.21 | 92.9x | 75 | 25% |
| ROC 모멘텀 n=89, threshold=0.03 |
19.1% | -91.0% | 0.61 | 0.21 | 138.5x | 248 | 50% |
| MACD fast=12, slow=28, signal=14 |
19.8% | -85.9% | 0.60 | 0.23 | 162.5x | 421 | 52% |
| Supertrend period=17, mult=3.2 |
17.4% | -88.5% | 0.57 | 0.20 | 91.7x | 167 | 51% |
| ADX / DI 방향성 period=9, threshold=29 |
15.3% | -87.1% | 0.55 | 0.18 | 55.1x | 337 | 28% |
| Parabolic SAR step=0.02, maxStep=0.34 |
14.0% | -95.3% | 0.50 | 0.15 | 40.3x | 595 | 52% |
| Buy and hold | 9.4% | -99.9% | 0.49 | 0.09 | 12.5x | 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 (1.2× volatility)
- Sell — Sell when the close falls back to the 28-day middle average