Trend-Following Backtester · Guide · backtest 한국어
equity · US
Babcock & Wilcox Enterprises, Inc. backtest
10 trend-following strategies were compared on the full daily history of Babcock & Wilcox Enterprises, Inc.. 10 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 16.3%, MDD -22.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -24.1%, drawdown -99.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 32.4%, MDD -51.4%, Sharpe 0.77, 30% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 56.6%p higher than buy and hold, while drawdown improves by 48.5%p (CAGR 16.3%, MDD -22.2%, exposure 3%).
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=29, k=1.9 |
32.4% | -51.4% | 0.77 | 0.63 | 22.8x | 70 | 30% |
| ADX / DI 방향성 period=29, threshold=33 |
16.3% | -22.2% | 0.69 | 0.73 | 5.4x | 6 | 3% |
| ROC 모멘텀 n=37, threshold=0.14 |
27.3% | -65.6% | 0.69 | 0.42 | 14.7x | 118 | 32% |
| Donchian 채널 돌파 entryN=35, exitN=42 |
27.3% | -72.6% | 0.68 | 0.38 | 14.7x | 30 | 49% |
| SMA 크로스오버 fast=22, slow=33 |
27.3% | -77.2% | 0.68 | 0.35 | 14.6x | 92 | 48% |
| MACD fast=24, slow=50, signal=17 |
22.0% | -88.3% | 0.62 | 0.25 | 9.1x | 98 | 52% |
| Parabolic SAR step=0.005, maxStep=0.22 |
21.0% | -84.8% | 0.60 | 0.25 | 8.3x | 82 | 43% |
| Supertrend period=12, mult=3.5 |
19.0% | -76.7% | 0.58 | 0.25 | 6.9x | 48 | 51% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=23, mult=1.9 |
18.5% | -60.7% | 0.57 | 0.31 | 6.6x | 58 | 26% |
| EMA 크로스오버 fast=19, slow=177 |
13.7% | -79.3% | 0.50 | 0.17 | 4.2x | 20 | 27% |
| Buy and hold | -24.1% | -99.9% | 0.27 | -0.24 | 0.0x | 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 29-day average (1.9× volatility)
- Sell — Sell when the close falls back to the 29-day middle average