Trend-Following Backtester · Guide · backtest 한국어
equity · KR
비에이치아이 backtest
10 trend-following strategies were compared on the full daily history of 비에이치아이. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 13.6%, MDD -63.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 9.8%, drawdown -93.7%).
Sharpe leader (same as main): MACD — CAGR 21.2%, MDD -69.6%, Sharpe 0.65, 51% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 11.3%p higher than buy and hold, while drawdown improves by 24.0%p (CAGR 13.6%, MDD -63.1%, 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 |
|---|---|---|---|---|---|---|---|
| MACD fast=18, slow=54, signal=11 |
21.2% | -69.6% | 0.65 | 0.30 | 52.7x | 226 | 51% |
| Parabolic SAR step=0.03, maxStep=0.08 |
17.9% | -81.9% | 0.59 | 0.22 | 30.3x | 360 | 46% |
| 볼린저 밴드 돌파 n=16, k=1.5 |
16.6% | -63.4% | 0.58 | 0.26 | 24.1x | 268 | 36% |
| ROC 모멘텀 n=13, threshold=0.03 |
16.2% | -82.8% | 0.56 | 0.20 | 22.2x | 526 | 40% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=15, mult=1.2 |
13.6% | -63.1% | 0.52 | 0.22 | 14.1x | 218 | 27% |
| Supertrend period=17, mult=2.3 |
13.5% | -75.1% | 0.51 | 0.18 | 13.6x | 190 | 46% |
| Donchian 채널 돌파 entryN=11, exitN=30 |
12.3% | -78.4% | 0.48 | 0.16 | 11.1x | 114 | 69% |
| EMA 크로스오버 fast=24, slow=80 |
11.2% | -77.8% | 0.46 | 0.14 | 9.0x | 64 | 47% |
| SMA 크로스오버 fast=12, slow=92 |
10.9% | -79.6% | 0.45 | 0.14 | 8.5x | 84 | 47% |
| ADX / DI 방향성 period=27, threshold=11 |
10.4% | -86.8% | 0.45 | 0.12 | 7.8x | 204 | 56% |
| Buy and hold | 9.8% | -93.7% | 0.46 | 0.10 | 6.9x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (18/54) crosses above its 11-day signal line
- Sell — Sell when the MACD line crosses back below the signal line