Trend-Following Backtester · Guide · backtest 한국어
equity · NO
Bakkafrost P/F backtest
10 trend-following strategies were compared on the full daily history of Bakkafrost P/F. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 16.9%, MDD -39.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 17.0%, drawdown -50.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.9%, MDD -39.1%, Sharpe 0.73, 71% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 11.1%p (CAGR 16.9%, MDD -39.1%, exposure 71%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=30, exitN=47 |
16.9% | -39.1% | 0.73 | 0.43 | 12.8x | 33 | 71% |
| SMA 크로스오버 fast=43, slow=64 |
13.8% | -50.3% | 0.66 | 0.27 | 8.3x | 64 | 62% |
| Supertrend period=28, mult=4.8 |
13.5% | -33.5% | 0.64 | 0.40 | 8.0x | 41 | 65% |
| EMA 크로스오버 fast=20, slow=36 |
12.4% | -50.9% | 0.61 | 0.24 | 6.7x | 79 | 62% |
| ADX / DI 방향성 period=39, threshold=18 |
5.5% | -16.5% | 0.54 | 0.33 | 2.4x | 36 | 17% |
| 볼린저 밴드 돌파 n=58, k=2.7 |
6.4% | -36.7% | 0.47 | 0.17 | 2.8x | 40 | 30% |
| ROC 모멘텀 n=77, threshold=-0.06 |
9.1% | -51.8% | 0.46 | 0.17 | 4.1x | 123 | 75% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=25, mult=4 |
4.7% | -33.9% | 0.39 | 0.14 | 2.1x | 36 | 27% |
| MACD fast=19, slow=45, signal=19 |
3.0% | -55.2% | 0.24 | 0.05 | 1.6x | 179 | 50% |
| Parabolic SAR step=0.005, maxStep=0.16 |
1.5% | -52.7% | 0.18 | 0.03 | 1.3x | 143 | 55% |
| Buy and hold | 17.0% | -50.3% | 0.64 | 0.34 | 13.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 30 days
- Sell — Sell when price breaks below the lowest low of the last 47 days