Trend-Following Backtester · Guide · backtest 한국어
equity · BR
MBRF Global Foods Company S.A. backtest
10 trend-following strategies were compared on the full daily history of MBRF Global Foods Company S.A.. 9 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 4.1%, MDD -26.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR 0.1%, drawdown -84.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.1%, MDD -26.0%, Sharpe 0.44, 4% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 5.7%, MDD -66.6%, exposure 59%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 58.9%p (CAGR 4.1%, MDD -26.0%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=28, k=3.5 |
4.1% | -26.0% | 0.44 | 0.16 | 2.2x | 12 | 4% |
| ROC 모멘텀 n=67, threshold=-0.06 |
5.7% | -66.6% | 0.34 | 0.09 | 2.9x | 213 | 59% |
| EMA 크로스오버 fast=23, slow=79 |
5.4% | -68.7% | 0.33 | 0.08 | 2.7x | 49 | 48% |
| SMA 크로스오버 fast=8, slow=102 |
5.4% | -61.9% | 0.33 | 0.09 | 2.7x | 71 | 49% |
| Donchian 채널 돌파 entryN=28, exitN=70 |
4.7% | -63.1% | 0.31 | 0.07 | 2.4x | 49 | 69% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=24, mult=1.6 |
3.8% | -39.5% | 0.29 | 0.10 | 2.0x | 139 | 16% |
| Supertrend period=14, mult=4.9 |
3.4% | -64.0% | 0.27 | 0.05 | 1.9x | 55 | 49% |
| ADX / DI 방향성 period=27, threshold=12 |
2.8% | -58.4% | 0.24 | 0.05 | 1.7x | 204 | 40% |
| MACD fast=9, slow=34, signal=12 |
1.7% | -68.9% | 0.22 | 0.02 | 1.4x | 327 | 48% |
| Parabolic SAR step=0.025, maxStep=0.36 |
0.1% | -71.8% | 0.17 | 0.00 | 1.0x | 467 | 49% |
| Buy and hold | 0.1% | -84.9% | 0.25 | 0.00 | 1.0x | 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 (3.5× volatility)
- Sell — Sell when the close falls back to the 28-day middle average