Trend-Following Backtester · Guide · backtest 한국어
equity · KR
BGF리테일 backtest
10 trend-following strategies were compared on the full daily history of BGF리테일. 7 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.3%, MDD -10.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR -5.8%, drawdown -60.4%).
Sharpe leader (same as main): MACD — CAGR 1.3%, MDD -50.7%, Sharpe 0.18, 48% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 9.7%p (CAGR -0.3%, MDD -10.4%, exposure 2%).
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=12, slow=38, signal=19 |
1.3% | -50.7% | 0.18 | 0.03 | 1.1x | 95 | 48% |
| SMA 크로스오버 fast=49, slow=120 |
-1.6% | -44.2% | 0.05 | -0.04 | 0.9x | 18 | 40% |
| EMA 크로스오버 fast=43, slow=122 |
-2.7% | -37.5% | -0.02 | -0.07 | 0.8x | 21 | 38% |
| ADX / DI 방향성 period=26, threshold=35 |
-0.3% | -10.4% | -0.03 | -0.02 | 1.0x | 2 | 2% |
| Supertrend period=18, mult=1.9 |
-5.3% | -62.6% | -0.07 | -0.08 | 0.6x | 93 | 49% |
| 볼린저 밴드 돌파 n=17, k=3.3 |
-0.8% | -23.6% | -0.08 | -0.03 | 0.9x | 8 | 3% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=15, mult=2.5 |
-1.0% | -17.3% | -0.11 | -0.05 | 0.9x | 8 | 3% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-5.9% | -63.7% | -0.11 | -0.09 | 0.6x | 71 | 46% |
| Donchian 채널 돌파 entryN=58, exitN=75 |
-6.3% | -53.6% | -0.14 | -0.12 | 0.6x | 15 | 52% |
| ROC 모멘텀 n=91, threshold=0.14 |
-6.9% | -58.5% | -0.38 | -0.12 | 0.5x | 62 | 17% |
| Buy and hold | -5.8% | -60.4% | 0.01 | -0.10 | 0.6x | 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 (12/38) crosses above its 19-day signal line
- Sell — Sell when the MACD line crosses back below the signal line