Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Bemobi Mobile Tech SA backtest
10 trend-following strategies were compared on the full daily history of Bemobi Mobile Tech SA. 6 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.3%, MDD -10.8%).
Results by strategy
6 of 10 beat buy and hold (CAGR 1.2%, drawdown -59.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 3.3%, MDD -10.8%, Sharpe 0.55, 6% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.0%, MDD -37.4%, exposure 47%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 48.5%p (CAGR 3.3%, MDD -10.8%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=25, mult=4 |
3.3% | -10.8% | 0.55 | 0.31 | 1.2x | 2 | 6% |
| ADX / DI 방향성 period=30, threshold=31 |
2.4% | -12.9% | 0.44 | 0.19 | 1.1x | 2 | 5% |
| 볼린저 밴드 돌파 n=56, k=3 |
3.0% | -12.9% | 0.39 | 0.23 | 1.2x | 4 | 9% |
| SMA 크로스오버 fast=11, slow=196 |
4.0% | -37.4% | 0.29 | 0.11 | 1.2x | 14 | 47% |
| EMA 크로스오버 fast=51, slow=191 |
2.5% | -37.1% | 0.22 | 0.07 | 1.1x | 9 | 42% |
| ROC 모멘텀 n=55, threshold=0.2 |
1.5% | -26.5% | 0.19 | 0.06 | 1.1x | 32 | 13% |
| MACD fast=9, slow=42, signal=11 |
-0.3% | -46.4% | 0.12 | -0.01 | 1.0x | 93 | 49% |
| Supertrend period=26, mult=2.8 |
-2.4% | -53.3% | 0.05 | -0.04 | 0.9x | 34 | 48% |
| Donchian 채널 돌파 entryN=62, exitN=18 |
-2.7% | -34.9% | -0.10 | -0.08 | 0.9x | 16 | 26% |
| Parabolic SAR step=0.015, maxStep=0.2 |
-6.0% | -61.3% | -0.11 | -0.10 | 0.7x | 102 | 47% |
| Buy and hold | 1.2% | -59.3% | 0.22 | 0.02 | 1.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 31-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 31-day average