Trend-Following Backtester · Guide · backtest 한국어
equity · US
Bowman Consulting Group Ltd. backtest
10 trend-following strategies were compared on the full daily history of Bowman Consulting Group 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 14.0%, MDD -10.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR 13.1%, drawdown -56.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 19.6%, MDD -26.8%, Sharpe 1.07, 22% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 23.1%, MDD -31.8%, exposure 33%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.5%p higher than buy and hold, while drawdown improves by 29.4%p (CAGR 14.0%, MDD -10.6%, exposure 12%).
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=28, k=3 |
19.6% | -26.8% | 1.07 | 0.73 | 2.6x | 12 | 22% |
| ADX / DI 방향성 period=16, threshold=31 |
14.0% | -10.6% | 1.05 | 1.33 | 2.0x | 14 | 12% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=11, mult=1.4 |
23.1% | -31.8% | 0.96 | 0.73 | 3.0x | 34 | 33% |
| Supertrend period=23, mult=2.7 |
21.7% | -36.9% | 0.81 | 0.59 | 2.8x | 24 | 48% |
| MACD fast=14, slow=57, signal=14 |
19.7% | -54.2% | 0.73 | 0.36 | 2.6x | 58 | 50% |
| Donchian 채널 돌파 entryN=85, exitN=28 |
15.9% | -28.4% | 0.68 | 0.56 | 2.2x | 8 | 35% |
| SMA 크로스오버 fast=43, slow=188 |
13.9% | -31.2% | 0.57 | 0.44 | 2.0x | 8 | 45% |
| ROC 모멘텀 n=94, threshold=0.13 |
12.4% | -32.4% | 0.56 | 0.38 | 1.8x | 36 | 34% |
| Parabolic SAR step=0.015, maxStep=0.3 |
13.3% | -39.7% | 0.55 | 0.33 | 1.9x | 95 | 50% |
| EMA 크로스오버 fast=43, slow=107 |
11.9% | -48.7% | 0.51 | 0.24 | 1.8x | 10 | 49% |
| Buy and hold | 13.1% | -56.2% | 0.50 | 0.23 | 1.9x | 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 28-day average (3× volatility)
- Sell — Sell when the close falls back to the 28-day middle average