Trend-Following Backtester · Guide · backtest 한국어
equity · GB
BOKU, Inc. backtest
10 trend-following strategies were compared on the full daily history of BOKU, Inc.. 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 18.5%, MDD -16.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR 5.1%, drawdown -73.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 18.5%, MDD -16.3%, Sharpe 1.09, 27% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 20.8%, MDD -39.4%, exposure 52%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 13.4%p higher than buy and hold, while drawdown improves by 57.0%p (CAGR 18.5%, MDD -16.3%, exposure 27%).
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=46, atrPeriod=22, mult=3.4 |
18.5% | -16.3% | 1.09 | 1.13 | 4.4x | 16 | 27% |
| 볼린저 밴드 돌파 n=54, k=2.1 |
19.3% | -22.3% | 1.03 | 0.86 | 4.7x | 24 | 33% |
| Donchian 채널 돌파 entryN=69, exitN=27 |
17.6% | -23.5% | 0.94 | 0.75 | 4.2x | 20 | 36% |
| SMA 크로스오버 fast=43, slow=62 |
20.8% | -39.4% | 0.88 | 0.53 | 5.2x | 30 | 52% |
| ROC 모멘텀 n=63, threshold=0.1 |
15.6% | -44.4% | 0.81 | 0.35 | 3.6x | 64 | 36% |
| ADX / DI 방향성 period=44, threshold=7 |
17.6% | -32.6% | 0.77 | 0.54 | 4.1x | 62 | 59% |
| EMA 크로스오버 fast=51, slow=54 |
15.9% | -36.7% | 0.72 | 0.43 | 3.7x | 20 | 56% |
| MACD fast=4, slow=26, signal=7 |
17.0% | -41.0% | 0.69 | 0.42 | 4.0x | 229 | 47% |
| Parabolic SAR step=0.045, maxStep=0.28 |
16.0% | -53.7% | 0.66 | 0.30 | 3.7x | 256 | 51% |
| Supertrend period=7, mult=1.8 |
10.3% | -52.3% | 0.49 | 0.20 | 2.4x | 117 | 53% |
| Buy and hold | 5.1% | -73.4% | 0.33 | 0.07 | 1.5x | 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 46-day average + 3.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 46-day average