Trend-Following Backtester · Guide · backtest 한국어
equity · BE
Bekaert SA backtest
10 trend-following strategies were compared on the full daily history of Bekaert SA. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.5%, MDD -42.9%).
Results by strategy
6 of 10 beat buy and hold (CAGR 3.2%, drawdown -84.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.2%, MDD -46.3%, Sharpe 0.46, 58% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.0%p higher than buy and hold, while drawdown improves by 37.9%p (CAGR 3.5%, MDD -42.9%, exposure 24%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=34, slow=213 |
8.2% | -46.3% | 0.46 | 0.18 | 8.0x | 39 | 58% |
| EMA 크로스오버 fast=59, slow=140 |
7.2% | -45.0% | 0.42 | 0.16 | 6.3x | 31 | 56% |
| 볼린저 밴드 돌파 n=53, k=3.2 |
3.9% | -47.8% | 0.41 | 0.08 | 2.7x | 30 | 13% |
| Donchian 채널 돌파 entryN=89, exitN=77 |
5.9% | -46.3% | 0.38 | 0.13 | 4.6x | 41 | 50% |
| ADX / DI 방향성 period=21, threshold=35 |
1.9% | -11.5% | 0.37 | 0.17 | 1.7x | 16 | 4% |
| Supertrend period=20, mult=4.9 |
5.2% | -69.2% | 0.34 | 0.08 | 3.9x | 78 | 52% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=12, mult=4 |
3.5% | -42.9% | 0.32 | 0.08 | 2.5x | 56 | 24% |
| ROC 모멘텀 n=113, threshold=0.14 |
2.2% | -40.4% | 0.21 | 0.05 | 1.8x | 192 | 29% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-5.6% | -89.4% | -0.13 | -0.06 | 0.2x | 233 | 55% |
| MACD fast=18, slow=57, signal=19 |
-7.5% | -91.9% | -0.20 | -0.08 | 0.1x | 307 | 50% |
| Buy and hold | 3.2% | -84.2% | 0.26 | 0.04 | 2.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 34-day average price crosses above the 213-day average
- Sell — Sell (to cash) when the 34-day average falls below the 213-day average