Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Bombardier Inc. Class A backtest
10 trend-following strategies were compared on the full daily history of Bombardier Inc. Class A. 7 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 12.5%, MDD -41.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR 4.9%, drawdown -98.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 12.5%, MDD -41.6%, Sharpe 0.60, 34% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 13.7%, MDD -45.1%, exposure 51%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.7%p higher than buy and hold, while drawdown improves by 57.0%p (CAGR 12.5%, MDD -41.6%, exposure 34%).
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=51, k=2.2 |
12.5% | -41.6% | 0.60 | 0.30 | 41.3x | 105 | 34% |
| Donchian 채널 돌파 entryN=96, exitN=70 |
13.7% | -45.1% | 0.59 | 0.30 | 57.3x | 45 | 51% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=11, mult=2.5 |
12.2% | -48.1% | 0.57 | 0.25 | 37.5x | 129 | 40% |
| EMA 크로스오버 fast=37, slow=40 |
12.4% | -55.4% | 0.54 | 0.22 | 40.2x | 109 | 55% |
| SMA 크로스오버 fast=25, slow=133 |
12.3% | -55.5% | 0.53 | 0.22 | 38.4x | 71 | 53% |
| Supertrend period=14, mult=3.8 |
11.6% | -65.7% | 0.50 | 0.18 | 31.7x | 163 | 53% |
| ROC 모멘텀 n=141, threshold=0.03 |
10.6% | -69.4% | 0.48 | 0.15 | 24.1x | 227 | 53% |
| ADX / DI 방향성 period=35, threshold=21 |
3.2% | -49.6% | 0.27 | 0.06 | 2.7x | 82 | 17% |
| MACD fast=19, slow=47, signal=19 |
3.5% | -65.0% | 0.27 | 0.05 | 3.0x | 311 | 51% |
| Parabolic SAR step=0.005, maxStep=0.42 |
2.2% | -70.8% | 0.23 | 0.03 | 2.0x | 243 | 54% |
| Buy and hold | 4.9% | -98.6% | 0.34 | 0.05 | 4.5x | 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 51-day average (2.2× volatility)
- Sell — Sell when the close falls back to the 51-day middle average