Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Grand City Properties SA backtest
10 trend-following strategies were compared on the full daily history of Grand City Properties SA. 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 1.7%, MDD -6.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.9%, drawdown -74.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.7%, MDD -6.8%, Sharpe 0.43, 2% exposure.
CAGR reference leader: Supertrend — CAGR 2.3%, MDD -35.7%, exposure 51%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 67.8%p (CAGR 1.7%, MDD -6.8%, exposure 2%).
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=35, k=3.5 |
1.7% | -6.8% | 0.43 | 0.26 | 1.2x | 2 | 2% |
| Supertrend period=21, mult=4.8 |
2.3% | -35.7% | 0.22 | 0.06 | 1.3x | 32 | 51% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=21, mult=3.8 |
0.8% | -16.0% | 0.19 | 0.05 | 1.1x | 8 | 4% |
| Donchian 채널 돌파 entryN=101, exitN=74 |
1.6% | -38.0% | 0.18 | 0.04 | 1.2x | 12 | 40% |
| SMA 크로스오버 fast=46, slow=153 |
1.3% | -44.3% | 0.16 | 0.03 | 1.2x | 24 | 52% |
| ADX / DI 방향성 period=34, threshold=27 |
0.5% | -9.2% | 0.14 | 0.06 | 1.1x | 6 | 3% |
| EMA 크로스오버 fast=59, slow=60 |
-0.8% | -48.5% | 0.05 | -0.02 | 0.9x | 26 | 54% |
| ROC 모멘텀 n=107, threshold=0.04 |
-2.4% | -42.4% | -0.07 | -0.06 | 0.8x | 104 | 38% |
| MACD fast=16, slow=22, signal=11 |
-5.0% | -63.7% | -0.17 | -0.08 | 0.5x | 185 | 52% |
| Parabolic SAR step=0.01, maxStep=0.34 |
-6.5% | -69.9% | -0.25 | -0.09 | 0.5x | 167 | 52% |
| Buy and hold | -1.9% | -74.6% | 0.07 | -0.03 | 0.8x | 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 35-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 35-day middle average