Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Bell Food Group Ltd. backtest
10 trend-following strategies were compared on the full daily history of Bell Food Group Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.2%, MDD -29.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.7%, drawdown -58.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.2%, MDD -29.6%, Sharpe 0.53, 58% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 10.7%, MDD -59.3%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 29.0%p (CAGR 9.2%, MDD -29.6%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=59, slow=176 |
9.2% | -29.6% | 0.53 | 0.31 | 16.0x | 43 | 58% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=10, mult=4 |
4.3% | -25.2% | 0.53 | 0.17 | 3.8x | 33 | 8% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.1 |
10.7% | -59.3% | 0.51 | 0.18 | 24.5x | 3 | 100% |
| EMA 크로스오버 fast=55, slow=211 |
8.5% | -35.1% | 0.49 | 0.24 | 13.0x | 33 | 63% |
| Donchian 채널 돌파 entryN=16, exitN=63 |
8.6% | -63.0% | 0.46 | 0.14 | 13.5x | 85 | 79% |
| Supertrend period=12, mult=5 |
7.0% | -59.7% | 0.44 | 0.12 | 8.3x | 75 | 55% |
| 볼린저 밴드 돌파 n=53, k=2.8 |
3.9% | -32.8% | 0.34 | 0.12 | 3.4x | 73 | 22% |
| ADX / DI 방향성 period=33, threshold=32 |
1.4% | -13.2% | 0.32 | 0.10 | 1.5x | 9 | 2% |
| Parabolic SAR step=0.005, maxStep=0.2 |
1.3% | -74.9% | 0.16 | 0.02 | 1.5x | 227 | 51% |
| MACD fast=39, slow=55, signal=20 |
-2.1% | -85.1% | -0.02 | -0.03 | 0.5x | 271 | 49% |
| Buy and hold | 10.7% | -58.7% | 0.51 | 0.18 | 24.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 59-day average price crosses above the 176-day average
- Sell — Sell (to cash) when the 59-day average falls below the 176-day average