Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Bureau Veritas SA backtest
10 trend-following strategies were compared on the full daily history of Bureau Veritas SA. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.8%, drawdown -41.7%).
Sharpe leader (same as main): Supertrend — CAGR 3.1%, MDD -34.8%, Sharpe 0.27, 57% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=25, mult=3.6 |
3.1% | -34.8% | 0.27 | 0.09 | 1.8x | 91 | 57% |
| ADX / DI 방향성 period=26, threshold=19 |
1.7% | -23.1% | 0.23 | 0.07 | 1.4x | 68 | 21% |
| Donchian 채널 돌파 entryN=14, exitN=29 |
1.6% | -41.4% | 0.18 | 0.04 | 1.3x | 97 | 70% |
| 볼린저 밴드 돌파 n=61, k=2.4 |
0.9% | -26.7% | 0.14 | 0.04 | 1.2x | 47 | 28% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=23, mult=3.5 |
0.7% | -41.1% | 0.12 | 0.02 | 1.1x | 49 | 30% |
| SMA 크로스오버 fast=47, slow=163 |
0.1% | -61.4% | 0.09 | 0.00 | 1.0x | 36 | 58% |
| ROC 모멘텀 n=110, threshold=0.03 |
-0.8% | -56.9% | 0.02 | -0.01 | 0.9x | 208 | 48% |
| EMA 크로스오버 fast=46, slow=109 |
-1.6% | -64.6% | -0.03 | -0.03 | 0.7x | 47 | 58% |
| MACD fast=15, slow=34, signal=17 |
-2.7% | -59.0% | -0.09 | -0.05 | 0.6x | 257 | 49% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-4.0% | -55.6% | -0.16 | -0.07 | 0.5x | 175 | 55% |
| Buy and hold | 5.8% | -41.7% | 0.35 | 0.14 | 2.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 25-day volatility, 3.6× band
- Sell — Sell when price drops below the trend line (flips down)