Trend-Following Backtester · Guide · backtest 한국어
equity · US
BigBear.ai, Inc. backtest
10 trend-following strategies were compared on the full daily history of BigBear.ai, Inc.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 43.8%, MDD -58.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -19.2%, drawdown -95.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 70.5%, MDD -68.3%, Sharpe 0.80, 43% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 89.7%p higher than buy and hold, while drawdown improves by 26.7%p (CAGR 43.8%, MDD -58.6%, exposure 31%).
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=14, exitN=14 |
70.5% | -68.3% | 0.80 | 1.03 | 17.9x | 29 | 43% |
| Parabolic SAR step=0.015, maxStep=0.1 |
47.7% | -68.2% | 0.69 | 0.70 | 8.2x | 74 | 41% |
| 볼린저 밴드 돌파 n=17, k=1.3 |
43.8% | -58.6% | 0.66 | 0.75 | 7.1x | 64 | 31% |
| MACD fast=7, slow=13, signal=15 |
28.5% | -91.2% | 0.61 | 0.31 | 3.9x | 112 | 49% |
| SMA 크로스오버 fast=10, slow=36 |
14.5% | -77.9% | 0.56 | 0.19 | 2.1x | 37 | 45% |
| ROC 모멘텀 n=14, threshold=-0.01 |
21.5% | -73.8% | 0.56 | 0.29 | 2.9x | 140 | 49% |
| Supertrend period=22, mult=1.4 |
21.5% | -71.2% | 0.54 | 0.30 | 2.9x | 95 | 42% |
| ADX / DI 방향성 period=20, threshold=15 |
4.5% | -86.5% | 0.49 | 0.05 | 1.3x | 52 | 41% |
| EMA 크로스오버 fast=38, slow=72 |
-1.4% | -75.3% | 0.42 | -0.02 | 0.9x | 12 | 42% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=27, mult=2.1 |
1.7% | -74.4% | 0.38 | 0.02 | 1.1x | 24 | 26% |
| Buy and hold | -19.2% | -95.0% | 0.41 | -0.20 | 0.3x | 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 14 days
- Sell — Sell when price breaks below the lowest low of the last 14 days