Trend-Following Backtester · Guide · backtest 한국어
equity · US
Bunge Limited backtest
10 trend-following strategies were compared on the full daily history of Bunge Limited. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.2%, drawdown -77.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.3%, MDD -16.4%, Sharpe 0.43, 10% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 7.0%, MDD -67.6%, exposure 87%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=56, k=3.5 |
3.3% | -16.4% | 0.43 | 0.20 | 2.3x | 18 | 10% |
| Donchian 채널 돌파 entryN=8, exitN=69 |
7.0% | -67.6% | 0.38 | 0.10 | 5.5x | 91 | 87% |
| SMA 크로스오버 fast=37, slow=46 |
5.9% | -53.2% | 0.37 | 0.11 | 4.2x | 175 | 55% |
| ROC 모멘텀 n=104, threshold=-0.09 |
6.0% | -51.6% | 0.35 | 0.12 | 4.3x | 150 | 78% |
| EMA 크로스오버 fast=56, slow=179 |
5.1% | -54.4% | 0.33 | 0.09 | 3.4x | 39 | 60% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=13, mult=3.8 |
2.6% | -42.9% | 0.26 | 0.06 | 1.9x | 62 | 25% |
| ADX / DI 방향성 period=32, threshold=24 |
1.8% | -26.3% | 0.25 | 0.07 | 1.6x | 40 | 10% |
| MACD fast=29, slow=44, signal=15 |
1.9% | -58.8% | 0.20 | 0.03 | 1.6x | 237 | 50% |
| Supertrend period=9, mult=5 |
1.1% | -77.2% | 0.16 | 0.01 | 1.3x | 86 | 57% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-0.5% | -72.0% | 0.09 | -0.01 | 0.9x | 214 | 55% |
| Buy and hold | 8.2% | -77.5% | 0.40 | 0.11 | 7.2x | 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 56-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 56-day middle average