Trend-Following Backtester · Guide · backtest 한국어
equity · US
Boise Cascade, L.L.C. backtest
10 trend-following strategies were compared on the full daily history of Boise Cascade, L.L.C.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.0%, MDD -42.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 8.4%, drawdown -67.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.0%, MDD -42.8%, Sharpe 0.56, 52% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 24.8%p (CAGR 12.0%, MDD -42.8%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=54, slow=69 |
12.0% | -42.8% | 0.56 | 0.28 | 4.7x | 57 | 52% |
| Supertrend period=4, mult=4 |
10.5% | -53.9% | 0.49 | 0.19 | 3.9x | 69 | 55% |
| Donchian 채널 돌파 entryN=11, exitN=44 |
11.1% | -55.1% | 0.48 | 0.20 | 4.2x | 53 | 79% |
| ROC 모멘텀 n=90, threshold=-0.01 |
5.1% | -49.0% | 0.32 | 0.10 | 2.0x | 94 | 57% |
| EMA 크로스오버 fast=8, slow=217 |
4.1% | -45.4% | 0.28 | 0.09 | 1.7x | 35 | 58% |
| MACD fast=16, slow=52, signal=24 |
3.3% | -61.0% | 0.26 | 0.05 | 1.6x | 122 | 53% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=17, mult=4 |
1.8% | -16.4% | 0.23 | 0.11 | 1.3x | 18 | 11% |
| 볼린저 밴드 돌파 n=18, k=3.5 |
0.3% | -2.9% | 0.23 | 0.10 | 1.0x | 2 | 1% |
| ADX / DI 방향성 period=27, threshold=31 |
0.6% | -8.5% | 0.18 | 0.07 | 1.1x | 8 | 2% |
| Parabolic SAR step=0.015, maxStep=0.1 |
-0.6% | -55.4% | 0.12 | -0.01 | 0.9x | 226 | 52% |
| Buy and hold | 8.4% | -67.7% | 0.40 | 0.12 | 3.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 54-day average price crosses above the 69-day average
- Sell — Sell (to cash) when the 54-day average falls below the 69-day average