Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Bouygues SA backtest
10 trend-following strategies were compared on the full daily history of Bouygues SA. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.5%, MDD -59.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 5.9%, drawdown -82.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.7%, MDD -26.1%, Sharpe 0.42, 6% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 5.5%, MDD -59.3%, exposure 54%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.2%p lower than buy and hold, while drawdown improves by 56.3%p (CAGR 5.5%, MDD -59.3%, exposure 54%).
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=28, k=3.2 |
3.7% | -26.1% | 0.42 | 0.14 | 3.6x | 34 | 6% |
| EMA 크로스오버 fast=46, slow=151 |
5.5% | -59.3% | 0.35 | 0.09 | 6.8x | 47 | 54% |
| SMA 크로스오버 fast=52, slow=211 |
5.0% | -54.6% | 0.33 | 0.09 | 5.8x | 55 | 53% |
| ADX / DI 방향성 period=17, threshold=31 |
2.6% | -37.0% | 0.29 | 0.07 | 2.5x | 78 | 9% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=8, mult=4 |
2.3% | -24.8% | 0.29 | 0.09 | 2.3x | 34 | 7% |
| Donchian 채널 돌파 entryN=47, exitN=26 |
3.4% | -65.6% | 0.27 | 0.05 | 3.3x | 122 | 39% |
| ROC 모멘텀 n=153, threshold=0 |
3.1% | -70.8% | 0.24 | 0.04 | 2.9x | 267 | 54% |
| MACD fast=24, slow=68, signal=31 |
0.6% | -86.9% | 0.14 | 0.01 | 1.2x | 252 | 51% |
| Supertrend period=24, mult=4.8 |
0.6% | -86.7% | 0.14 | 0.01 | 1.2x | 130 | 53% |
| Parabolic SAR step=0.015, maxStep=0.3 |
-6.2% | -94.8% | -0.17 | -0.07 | 0.1x | 631 | 53% |
| Buy and hold | 5.9% | -82.4% | 0.33 | 0.07 | 7.6x | 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 28-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 28-day middle average