Trend-Following Backtester · Guide · backtest 한국어
equity · FR
DBV Technologies SA backtest
10 trend-following strategies were compared on the full daily history of DBV Technologies SA. 10 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 28.2%, MDD -53.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -9.0%, drawdown -99.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 28.2%, MDD -53.1%, Sharpe 0.77, 31% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 37.2%p higher than buy and hold, while drawdown improves by 46.3%p (CAGR 28.2%, MDD -53.1%, exposure 31%).
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=13, k=1.5 |
28.2% | -53.1% | 0.77 | 0.53 | 35.4x | 208 | 31% |
| Supertrend period=20, mult=1.1 |
20.4% | -57.3% | 0.62 | 0.36 | 14.4x | 306 | 41% |
| ADX / DI 방향성 period=27, threshold=23 |
18.2% | -54.5% | 0.60 | 0.33 | 11.0x | 54 | 23% |
| ROC 모멘텀 n=70, threshold=0.23 |
17.4% | -62.6% | 0.59 | 0.28 | 10.0x | 106 | 23% |
| Donchian 채널 돌파 entryN=35, exitN=68 |
13.2% | -86.3% | 0.49 | 0.15 | 5.9x | 28 | 62% |
| SMA 크로스오버 fast=8, slow=131 |
13.0% | -81.8% | 0.49 | 0.16 | 5.8x | 42 | 47% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=21, mult=1.9 |
9.9% | -71.1% | 0.44 | 0.14 | 3.9x | 86 | 28% |
| EMA 크로스오버 fast=23, slow=93 |
9.9% | -87.8% | 0.43 | 0.11 | 3.9x | 38 | 46% |
| Parabolic SAR step=0.025, maxStep=0.36 |
7.6% | -89.4% | 0.41 | 0.09 | 2.9x | 324 | 45% |
| MACD fast=6, slow=22, signal=9 |
4.7% | -84.8% | 0.37 | 0.05 | 1.9x | 332 | 49% |
| Buy and hold | -9.0% | -99.4% | 0.24 | -0.09 | 0.3x | 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 13-day average (1.5× volatility)
- Sell — Sell when the close falls back to the 13-day middle average