Trend-Following Backtester · Guide · backtest 한국어
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Buzzi Spa backtest
10 trend-following strategies were compared on the full daily history of Buzzi Spa. 0 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 5.1%, MDD -45.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 5.7%, drawdown -78.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 5.1%, MDD -45.7%, Sharpe 0.35, 41% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 32.8%p (CAGR 5.1%, MDD -45.7%, exposure 41%).
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=55, atrPeriod=23, mult=1.8 |
5.1% | -45.7% | 0.35 | 0.11 | 7.1x | 216 | 41% |
| 볼린저 밴드 돌파 n=26, k=3.4 |
1.9% | -20.4% | 0.34 | 0.09 | 2.1x | 30 | 5% |
| SMA 크로스오버 fast=33, slow=130 |
5.1% | -62.2% | 0.33 | 0.08 | 6.9x | 82 | 56% |
| Supertrend period=27, mult=3.2 |
4.7% | -56.7% | 0.31 | 0.08 | 6.0x | 318 | 55% |
| EMA 크로스오버 fast=37, slow=96 |
4.6% | -51.9% | 0.31 | 0.09 | 5.9x | 84 | 57% |
| Donchian 채널 돌파 entryN=19, exitN=122 |
5.0% | -71.0% | 0.31 | 0.07 | 6.7x | 88 | 84% |
| MACD fast=17, slow=49, signal=16 |
4.2% | -64.5% | 0.29 | 0.07 | 5.0x | 434 | 50% |
| ROC 모멘텀 n=133, threshold=-0.05 |
3.3% | -69.5% | 0.25 | 0.05 | 3.5x | 262 | 66% |
| ADX / DI 방향성 period=34, threshold=37 |
0.3% | -16.5% | 0.15 | 0.02 | 1.1x | 2 | 1% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-0.1% | -92.7% | 0.11 | -0.00 | 1.0x | 680 | 52% |
| Buy and hold | 5.7% | -78.5% | 0.33 | 0.07 | 8.8x | 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 55-day average + 1.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 55-day average