Trend-Following Backtester · Guide · backtest 한국어
equity · US
Bluelinx Holdings Inc. backtest
10 trend-following strategies were compared on the full daily history of Bluelinx Holdings Inc.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.3%, MDD -35.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.7%, drawdown -97.8%).
Sharpe leader (same as main): Supertrend — CAGR 13.1%, MDD -69.8%, Sharpe 0.48, 49% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.8%p higher than buy and hold, while drawdown improves by 28.0%p (CAGR 4.3%, MDD -35.0%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=19, mult=3.4 |
13.1% | -69.8% | 0.48 | 0.19 | 14.5x | 101 | 49% |
| 볼린저 밴드 돌파 n=52, k=1.9 |
10.4% | -59.0% | 0.44 | 0.18 | 8.6x | 81 | 27% |
| SMA 크로스오버 fast=7, slow=47 |
9.2% | -83.2% | 0.41 | 0.11 | 6.7x | 149 | 47% |
| ADX / DI 방향성 period=42, threshold=26 |
4.3% | -35.0% | 0.39 | 0.12 | 2.5x | 8 | 4% |
| EMA 크로스오버 fast=21, slow=29 |
7.7% | -77.5% | 0.38 | 0.10 | 5.0x | 113 | 46% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=21, mult=2.1 |
8.0% | -66.0% | 0.38 | 0.12 | 5.3x | 101 | 25% |
| Donchian 채널 돌파 entryN=11, exitN=15 |
7.3% | -92.2% | 0.38 | 0.08 | 4.6x | 164 | 57% |
| Parabolic SAR step=0.01, maxStep=0.14 |
6.8% | -89.0% | 0.37 | 0.08 | 4.1x | 274 | 48% |
| ROC 모멘텀 n=46, threshold=0.14 |
7.4% | -81.5% | 0.36 | 0.09 | 4.7x | 221 | 27% |
| MACD fast=7, slow=45, signal=18 |
2.9% | -95.4% | 0.30 | 0.03 | 1.8x | 340 | 51% |
| Buy and hold | -1.7% | -97.8% | 0.32 | -0.02 | 0.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 19-day volatility, 3.4× band
- Sell — Sell when price drops below the trend line (flips down)