Trend-Following Backtester · Guide · backtest 한국어
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BFF Bank SpA backtest
10 trend-following strategies were compared on the full daily history of BFF Bank SpA. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.9%, MDD -9.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.9%, drawdown -88.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 10.0%, MDD -15.7%, Sharpe 0.94, 17% exposure.
CAGR reference leader: Supertrend — CAGR 10.8%, MDD -34.5%, exposure 47%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 12.9%p higher than buy and hold, while drawdown improves by 73.1%p (CAGR 4.9%, MDD -9.5%, exposure 6%).
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=25, k=2.9 |
10.0% | -15.7% | 0.94 | 0.63 | 2.4x | 20 | 17% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=24, mult=3.9 |
4.9% | -9.5% | 0.75 | 0.52 | 1.6x | 4 | 6% |
| Donchian 채널 돌파 entryN=85, exitN=16 |
8.3% | -18.1% | 0.72 | 0.46 | 2.1x | 20 | 22% |
| ADX / DI 방향성 period=18, threshold=31 |
5.6% | -13.4% | 0.70 | 0.42 | 1.7x | 16 | 10% |
| Supertrend period=10, mult=4.3 |
10.8% | -34.5% | 0.63 | 0.31 | 2.6x | 27 | 47% |
| ROC 모멘텀 n=78, threshold=0.1 |
4.8% | -31.8% | 0.39 | 0.15 | 1.6x | 75 | 30% |
| SMA 크로스오버 fast=51, slow=104 |
6.0% | -47.9% | 0.38 | 0.13 | 1.7x | 23 | 48% |
| Parabolic SAR step=0.01, maxStep=0.2 |
4.8% | -37.4% | 0.32 | 0.13 | 1.6x | 111 | 52% |
| EMA 크로스오버 fast=47, slow=76 |
3.7% | -37.4% | 0.28 | 0.10 | 1.4x | 18 | 46% |
| MACD fast=16, slow=45, signal=24 |
0.8% | -62.1% | 0.21 | 0.01 | 1.1x | 86 | 51% |
| Buy and hold | -2.9% | -88.9% | 0.18 | -0.03 | 0.8x | 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 25-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 25-day middle average