Trend-Following Backtester · Guide · backtest 한국어
equity · US
Deluxe Corporation backtest
10 trend-following strategies were compared on the full daily history of Deluxe Corporation. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.2%, MDD -34.9%).
Results by strategy
6 of 10 beat buy and hold (CAGR 4.2%, drawdown -87.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.2%, MDD -34.9%, Sharpe 0.44, 23% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 8.3%, MDD -71.4%, exposure 78%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 52.6%p (CAGR 5.2%, MDD -34.9%, exposure 23%).
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=69, k=2.8 |
5.2% | -34.9% | 0.44 | 0.15 | 10.3x | 70 | 23% |
| Donchian 채널 돌파 entryN=7, exitN=38 |
8.3% | -71.4% | 0.42 | 0.12 | 40.9x | 233 | 78% |
| Keltner 채널 돌파 emaPeriod=97, atrPeriod=28, mult=2.9 |
5.0% | -56.0% | 0.36 | 0.09 | 9.7x | 132 | 41% |
| Supertrend period=9, mult=3.7 |
5.7% | -53.7% | 0.35 | 0.11 | 13.1x | 226 | 57% |
| EMA 크로스오버 fast=29, slow=31 |
5.1% | -59.2% | 0.33 | 0.09 | 9.9x | 196 | 56% |
| ADX / DI 방향성 period=34, threshold=23 |
2.9% | -34.1% | 0.33 | 0.08 | 3.7x | 88 | 12% |
| SMA 크로스오버 fast=27, slow=66 |
4.8% | -64.9% | 0.32 | 0.07 | 9.0x | 163 | 56% |
| MACD fast=50, slow=53, signal=36 |
4.2% | -66.3% | 0.29 | 0.06 | 6.8x | 250 | 52% |
| ROC 모멘텀 n=40, threshold=-0.03 |
2.9% | -78.9% | 0.24 | 0.04 | 3.8x | 639 | 65% |
| Parabolic SAR step=0.005, maxStep=0.08 |
0.8% | -70.3% | 0.15 | 0.01 | 1.4x | 390 | 54% |
| Buy and hold | 4.2% | -87.5% | 0.29 | 0.05 | 6.8x | 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 69-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 69-day middle average