Trend-Following Backtester · Guide · backtest 한국어
equity · NL
Flow Traders Ltd backtest
10 trend-following strategies were compared on the full daily history of Flow Traders Ltd. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.5%, MDD -11.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.9%, drawdown -69.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.6%, MDD -19.9%, Sharpe 0.52, 7% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 6.7%, MDD -24.6%, exposure 13%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 49.6%p (CAGR 3.5%, MDD -11.2%, exposure 5%).
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=35, k=3.2 |
5.6% | -19.9% | 0.52 | 0.28 | 1.8x | 12 | 7% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=22, mult=3.1 |
6.7% | -24.6% | 0.50 | 0.27 | 2.1x | 21 | 13% |
| ADX / DI 방향성 period=11, threshold=48 |
3.5% | -11.2% | 0.49 | 0.31 | 1.5x | 19 | 5% |
| Supertrend period=13, mult=4.7 |
6.4% | -34.5% | 0.38 | 0.19 | 2.0x | 33 | 39% |
| ROC 모멘텀 n=77, threshold=0.05 |
4.2% | -28.4% | 0.30 | 0.15 | 1.6x | 74 | 33% |
| Donchian 채널 돌파 entryN=73, exitN=41 |
3.8% | -36.3% | 0.29 | 0.10 | 1.5x | 20 | 26% |
| EMA 크로스오버 fast=20, slow=36 |
3.9% | -51.9% | 0.28 | 0.07 | 1.5x | 53 | 43% |
| SMA 크로스오버 fast=41, slow=70 |
3.0% | -40.1% | 0.24 | 0.07 | 1.4x | 41 | 41% |
| MACD fast=19, slow=23, signal=17 |
-3.7% | -56.5% | -0.04 | -0.07 | 0.7x | 137 | 53% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-8.2% | -73.7% | -0.22 | -0.11 | 0.4x | 93 | 45% |
| Buy and hold | -1.9% | -69.5% | 0.10 | -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 35-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 35-day middle average