Trend-Following Backtester · Guide · backtest 한국어
equity · CL
Bicecorp S.A. backtest
10 trend-following strategies were compared on the full daily history of Bicecorp S.A.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 14.4%, drawdown -32.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.6%, MDD -23.2%, Sharpe 0.85, 49% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 12.8%, MDD -37.2%, exposure 78%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=119, exitN=18 |
8.6% | -23.2% | 0.85 | 0.37 | 8.9x | 72 | 49% |
| EMA 크로스오버 fast=49, slow=185 |
12.8% | -37.2% | 0.76 | 0.35 | 24.7x | 19 | 78% |
| SMA 크로스오버 fast=61, slow=204 |
10.8% | -31.0% | 0.75 | 0.35 | 15.1x | 27 | 72% |
| 볼린저 밴드 돌파 n=23, k=3 |
7.9% | -32.9% | 0.74 | 0.24 | 7.6x | 84 | 48% |
| ROC 모멘텀 n=104, threshold=-0.03 |
9.6% | -57.6% | 0.72 | 0.17 | 11.5x | 66 | 82% |
| Parabolic SAR step=0.005, maxStep=0.34 |
8.7% | -35.7% | 0.70 | 0.24 | 9.1x | 60 | 60% |
| ADX / DI 방향성 period=22, threshold=32 |
6.5% | -25.3% | 0.62 | 0.26 | 5.3x | 94 | 52% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=15, mult=1.9 |
6.6% | -33.8% | 0.60 | 0.20 | 5.5x | 118 | 61% |
| Supertrend period=16, mult=4.9 |
6.6% | -36.2% | 0.57 | 0.18 | 5.5x | 112 | 66% |
| MACD fast=10, slow=46, signal=15 |
6.4% | -49.1% | 0.49 | 0.13 | 5.2x | 195 | 41% |
| Buy and hold | 14.4% | -32.2% | 0.77 | 0.45 | 35.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 119 days
- Sell — Sell when price breaks below the lowest low of the last 18 days