Trend-Following Backtester · Guide · backtest 한국어
equity · CA
BlackBerry Limited backtest
10 trend-following strategies were compared on the full daily history of BlackBerry Limited. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 13.6%, MDD -70.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 8.7%, drawdown -98.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 14.8%, MDD -70.9%, Sharpe 0.60, 17% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 17.6%, MDD -74.5%, exposure 33%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.2%p higher than buy and hold, while drawdown improves by 27.2%p (CAGR 13.6%, MDD -70.6%, exposure 16%).
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=16, k=2.7 |
14.8% | -70.9% | 0.60 | 0.21 | 52.3x | 138 | 17% |
| Donchian 채널 돌파 entryN=80, exitN=28 |
17.6% | -74.5% | 0.60 | 0.24 | 104.8x | 68 | 33% |
| EMA 크로스오버 fast=21, slow=49 |
17.6% | -89.6% | 0.58 | 0.20 | 104.8x | 119 | 48% |
| Parabolic SAR step=0.015, maxStep=0.08 |
17.3% | -87.5% | 0.57 | 0.20 | 96.0x | 412 | 50% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=24, mult=3.7 |
13.6% | -70.6% | 0.57 | 0.19 | 38.3x | 78 | 16% |
| ADX / DI 방향성 period=47, threshold=11 |
16.7% | -80.6% | 0.57 | 0.21 | 84.0x | 179 | 40% |
| ROC 모멘텀 n=36, threshold=-0.06 |
17.3% | -94.7% | 0.56 | 0.18 | 95.2x | 409 | 62% |
| Supertrend period=8, mult=1.8 |
16.2% | -91.3% | 0.55 | 0.18 | 73.3x | 408 | 48% |
| MACD fast=17, slow=46, signal=11 |
13.8% | -91.8% | 0.51 | 0.15 | 40.5x | 366 | 53% |
| SMA 크로스오버 fast=54, slow=99 |
13.3% | -92.2% | 0.50 | 0.14 | 35.9x | 69 | 49% |
| Buy and hold | 8.7% | -98.1% | 0.45 | 0.09 | 10.8x | 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 16-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 16-day middle average