Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Major Drilling Group International Inc. backtest
10 trend-following strategies were compared on the full daily history of Major Drilling Group International Inc.. 7 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 10.7%, MDD -52.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR 6.0%, drawdown -95.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 10.4%, MDD -59.2%, Sharpe 0.56, 23% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 11.7%, MDD -72.8%, exposure 50%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.4%p higher than buy and hold, while drawdown improves by 35.9%p (CAGR 10.7%, MDD -52.8%, exposure 28%).
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=58, k=2.8 |
10.4% | -59.2% | 0.56 | 0.18 | 19.3x | 58 | 23% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=21, mult=3.3 |
10.7% | -52.8% | 0.54 | 0.20 | 21.1x | 82 | 28% |
| Donchian 채널 돌파 entryN=54, exitN=20 |
11.6% | -56.5% | 0.53 | 0.20 | 26.6x | 96 | 34% |
| SMA 크로스오버 fast=32, slow=75 |
11.7% | -72.8% | 0.50 | 0.16 | 27.6x | 108 | 50% |
| EMA 크로스오버 fast=42, slow=53 |
11.0% | -77.2% | 0.48 | 0.14 | 22.7x | 94 | 52% |
| ROC 모멘텀 n=110, threshold=0.12 |
8.6% | -66.3% | 0.43 | 0.13 | 11.7x | 224 | 40% |
| Supertrend period=12, mult=3.8 |
7.1% | -82.0% | 0.37 | 0.09 | 7.8x | 146 | 51% |
| ADX / DI 방향성 period=12, threshold=37 |
3.9% | -52.1% | 0.32 | 0.08 | 3.2x | 122 | 11% |
| MACD fast=15, slow=50, signal=17 |
-1.7% | -94.7% | 0.14 | -0.02 | 0.6x | 376 | 51% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-1.6% | -96.2% | 0.14 | -0.02 | 0.6x | 508 | 51% |
| Buy and hold | 6.0% | -95.1% | 0.37 | 0.06 | 5.7x | 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 58-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 58-day middle average