Trend-Following Backtester · Guide · backtest 한국어
equity · IN
BLS International Services Ltd. backtest
10 trend-following strategies were compared on the full daily history of BLS International Services Ltd.. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 30.1%, MDD -30.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR 26.6%, drawdown -90.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 30.1%, MDD -30.2%, Sharpe 1.12, 24% exposure.
CAGR reference leader: Supertrend — CAGR 38.6%, MDD -51.6%, exposure 55%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 60.0%p (CAGR 30.1%, MDD -30.2%, exposure 24%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=27, threshold=25 |
30.1% | -30.2% | 1.12 | 1.00 | 14.3x | 20 | 24% |
| Supertrend period=7, mult=3.7 |
38.6% | -51.6% | 1.08 | 0.75 | 27.3x | 38 | 55% |
| 볼린저 밴드 돌파 n=36, k=1.4 |
33.7% | -38.3% | 1.05 | 0.88 | 19.0x | 62 | 41% |
| Donchian 채널 돌파 entryN=23, exitN=30 |
36.0% | -51.0% | 1.01 | 0.71 | 22.4x | 32 | 58% |
| SMA 크로스오버 fast=13, slow=207 |
35.9% | -39.9% | 1.01 | 0.90 | 22.3x | 10 | 53% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=13, mult=4 |
21.9% | -31.5% | 1.00 | 0.70 | 7.4x | 14 | 16% |
| MACD fast=8, slow=30, signal=17 |
32.7% | -51.7% | 0.98 | 0.63 | 17.5x | 137 | 48% |
| EMA 크로스오버 fast=38, slow=152 |
35.5% | -39.9% | 0.98 | 0.89 | 21.6x | 4 | 56% |
| ROC 모멘텀 n=48, threshold=0.03 |
31.3% | -51.5% | 0.93 | 0.61 | 15.8x | 120 | 49% |
| Parabolic SAR step=0.015, maxStep=0.16 |
23.5% | -59.9% | 0.76 | 0.39 | 8.5x | 157 | 52% |
| Buy and hold | 26.6% | -90.2% | 0.72 | 0.30 | 10.9x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 27-day) is ≥ 25
- Sell — Sell when direction flips or the trend weakens (ADX < 25)