Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Badger Infrastructure Solutions Ltd backtest
10 trend-following strategies were compared on the full daily history of Badger Infrastructure Solutions Ltd. 2 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 13.8%, MDD -53.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 12.9%, drawdown -94.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 13.8%, MDD -53.4%, Sharpe 0.66, 36% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 14.0%, MDD -63.0%, exposure 55%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 40.8%p (CAGR 13.8%, MDD -53.4%, exposure 36%).
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=53, k=2.2 |
13.8% | -53.4% | 0.66 | 0.26 | 43.5x | 90 | 36% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=24, mult=4 |
11.9% | -65.9% | 0.62 | 0.18 | 26.3x | 64 | 32% |
| Donchian 채널 돌파 entryN=114, exitN=19 |
11.2% | -47.9% | 0.62 | 0.23 | 21.8x | 68 | 31% |
| SMA 크로스오버 fast=55, slow=105 |
14.0% | -63.0% | 0.59 | 0.22 | 45.6x | 79 | 55% |
| ADX / DI 방향성 period=35, threshold=23 |
8.9% | -45.4% | 0.56 | 0.20 | 11.9x | 46 | 16% |
| EMA 크로스오버 fast=39, slow=95 |
12.7% | -76.1% | 0.56 | 0.17 | 32.1x | 61 | 56% |
| ROC 모멘텀 n=80, threshold=0.08 |
9.9% | -71.3% | 0.48 | 0.14 | 15.7x | 269 | 43% |
| Parabolic SAR step=0.01, maxStep=0.38 |
3.9% | -74.1% | 0.28 | 0.05 | 3.0x | 350 | 54% |
| Supertrend period=24, mult=2.4 |
3.5% | -86.8% | 0.27 | 0.04 | 2.7x | 286 | 58% |
| MACD fast=9, slow=47, signal=14 |
-1.6% | -86.1% | 0.12 | -0.02 | 0.6x | 474 | 49% |
| Buy and hold | 12.9% | -94.3% | 0.49 | 0.14 | 34.0x | 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 53-day average (2.2× volatility)
- Sell — Sell when the close falls back to the 53-day middle average