Trend-Following Backtester · Guide · backtest 한국어
equity · TH
Berli Jucker Public Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Berli Jucker Public Co. Ltd.. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 10.8%, MDD -44.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR 4.6%, drawdown -84.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 10.8%, MDD -44.4%, Sharpe 0.57, 22% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.1%p higher than buy and hold, while drawdown improves by 39.8%p (CAGR 10.8%, MDD -44.4%, exposure 22%).
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=45, k=2.7 |
10.8% | -44.4% | 0.57 | 0.24 | 15.2x | 69 | 22% |
| SMA 크로스오버 fast=13, slow=218 |
10.2% | -75.8% | 0.53 | 0.13 | 13.3x | 53 | 44% |
| EMA 크로스오버 fast=18, slow=190 |
9.5% | -67.9% | 0.50 | 0.14 | 11.2x | 47 | 48% |
| Donchian 채널 돌파 entryN=95, exitN=60 |
8.7% | -56.7% | 0.46 | 0.15 | 9.3x | 33 | 39% |
| ROC 모멘텀 n=136, threshold=0.12 |
8.2% | -52.9% | 0.46 | 0.16 | 8.2x | 128 | 28% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=19, mult=3.2 |
6.4% | -58.0% | 0.39 | 0.11 | 5.3x | 63 | 31% |
| ADX / DI 방향성 period=21, threshold=34 |
5.3% | -49.3% | 0.38 | 0.11 | 4.0x | 46 | 13% |
| Supertrend period=11, mult=3.6 |
6.2% | -69.8% | 0.36 | 0.09 | 4.9x | 125 | 53% |
| MACD fast=17, slow=57, signal=17 |
4.5% | -85.5% | 0.30 | 0.05 | 3.2x | 224 | 49% |
| Parabolic SAR step=0.02, maxStep=0.18 |
3.6% | -85.4% | 0.26 | 0.04 | 2.5x | 389 | 42% |
| Buy and hold | 4.6% | -84.2% | 0.31 | 0.06 | 3.3x | 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 45-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 45-day middle average