Trend-Following Backtester · Guide · backtest 한국어
equity · US
Bentley Systems, Incorporated backtest
10 trend-following strategies were compared on the full daily history of Bentley Systems, Incorporated. 7 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 2.2%, MDD -5.2%).
Results by strategy
7 of 10 beat buy and hold (CAGR 0.9%, drawdown -61.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.2%, MDD -5.2%, Sharpe 0.57, 4% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.2%, MDD -26.3%, exposure 43%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 55.8%p (CAGR 2.2%, MDD -5.2%, exposure 4%).
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=31, k=3.4 |
2.2% | -5.2% | 0.57 | 0.42 | 1.1x | 2 | 4% |
| SMA 크로스오버 fast=58, slow=123 |
7.2% | -26.3% | 0.45 | 0.27 | 1.5x | 16 | 43% |
| EMA 크로스오버 fast=57, slow=87 |
5.8% | -28.8% | 0.37 | 0.20 | 1.4x | 10 | 47% |
| Donchian 채널 돌파 entryN=74, exitN=32 |
4.8% | -26.3% | 0.34 | 0.18 | 1.3x | 9 | 29% |
| ADX / DI 방향성 period=22, threshold=31 |
1.1% | -6.4% | 0.32 | 0.18 | 1.1x | 6 | 4% |
| ROC 모멘텀 n=85, threshold=0.07 |
3.8% | -29.2% | 0.30 | 0.13 | 1.2x | 38 | 30% |
| Supertrend period=23, mult=2.8 |
2.1% | -36.3% | 0.21 | 0.06 | 1.1x | 41 | 51% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=22, mult=2.8 |
0.9% | -28.7% | 0.13 | 0.03 | 1.1x | 13 | 14% |
| MACD fast=14, slow=47, signal=17 |
-7.6% | -62.7% | -0.18 | -0.12 | 0.6x | 73 | 50% |
| Parabolic SAR step=0.035, maxStep=0.26 |
-8.2% | -71.6% | -0.19 | -0.11 | 0.6x | 183 | 53% |
| Buy and hold | 0.9% | -61.1% | 0.22 | 0.01 | 1.1x | 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 31-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 31-day middle average