Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Black Box Limited backtest
10 trend-following strategies were compared on the full daily history of Black Box Limited. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 22.5%, MDD -52.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR 17.2%, drawdown -87.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 28.3%, MDD -64.4%, Sharpe 0.87, 36% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 11.0%p higher than buy and hold, while drawdown improves by 23.3%p (CAGR 22.5%, MDD -52.1%, exposure 46%).
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=17, k=1.3 |
28.3% | -64.4% | 0.87 | 0.44 | 409.8x | 298 | 36% |
| SMA 크로스오버 fast=52, slow=193 |
25.3% | -64.3% | 0.77 | 0.39 | 233.9x | 27 | 57% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=13, mult=0.7 |
23.0% | -60.7% | 0.76 | 0.38 | 148.8x | 322 | 34% |
| MACD fast=10, slow=25, signal=13 |
23.6% | -74.8% | 0.74 | 0.31 | 165.8x | 377 | 49% |
| Supertrend period=9, mult=2.1 |
22.8% | -65.4% | 0.74 | 0.35 | 143.5x | 195 | 45% |
| ROC 모멘텀 n=68, threshold=0.06 |
22.5% | -52.1% | 0.74 | 0.43 | 136.1x | 234 | 46% |
| Donchian 채널 돌파 entryN=94, exitN=66 |
23.0% | -61.9% | 0.73 | 0.37 | 147.7x | 23 | 55% |
| EMA 크로스오버 fast=40, slow=65 |
18.8% | -74.6% | 0.64 | 0.25 | 64.2x | 60 | 53% |
| ADX / DI 방향성 period=8, threshold=17 |
18.3% | -69.3% | 0.62 | 0.26 | 58.4x | 600 | 50% |
| Parabolic SAR step=0.02, maxStep=0.36 |
17.1% | -66.5% | 0.60 | 0.26 | 45.6x | 484 | 49% |
| Buy and hold | 17.2% | -87.7% | 0.56 | 0.20 | 46.5x | 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 17-day average (1.3× volatility)
- Sell — Sell when the close falls back to the 17-day middle average