Trend-Following Backtester · Guide · backtest 한국어
equity · DK
Bavarian Nordic A/S backtest
10 trend-following strategies were compared on the full daily history of Bavarian Nordic A/S. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.7%, MDD -39.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 4.3%, drawdown -91.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 9.7%, MDD -39.7%, Sharpe 0.56, 13% exposure.
CAGR reference leader: Supertrend — CAGR 13.3%, MDD -75.2%, exposure 47%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 51.3%p (CAGR 9.7%, MDD -39.7%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=20, mult=3.4 |
9.7% | -39.7% | 0.56 | 0.24 | 11.7x | 69 | 13% |
| Supertrend period=25, mult=4.1 |
13.3% | -75.2% | 0.54 | 0.18 | 28.0x | 113 | 47% |
| 볼린저 밴드 돌파 n=23, k=1.7 |
11.7% | -65.9% | 0.52 | 0.18 | 19.0x | 235 | 33% |
| Parabolic SAR step=0.005, maxStep=0.16 |
11.4% | -65.4% | 0.48 | 0.17 | 17.8x | 181 | 49% |
| Donchian 채널 돌파 entryN=115, exitN=13 |
7.2% | -69.0% | 0.44 | 0.10 | 6.4x | 65 | 17% |
| ADX / DI 방향성 period=17, threshold=24 |
7.7% | -50.9% | 0.41 | 0.15 | 7.1x | 167 | 24% |
| EMA 크로스오버 fast=21, slow=164 |
8.2% | -74.2% | 0.41 | 0.11 | 8.1x | 51 | 48% |
| MACD fast=14, slow=36, signal=13 |
7.1% | -86.4% | 0.37 | 0.08 | 6.2x | 345 | 51% |
| SMA 크로스오버 fast=14, slow=65 |
6.3% | -66.6% | 0.35 | 0.09 | 5.0x | 115 | 49% |
| ROC 모멘텀 n=130, threshold=0 |
6.0% | -76.0% | 0.35 | 0.08 | 4.7x | 177 | 50% |
| Buy and hold | 4.3% | -91.0% | 0.34 | 0.05 | 3.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 20-day average + 3.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 20-day average