Trend-Following Backtester · Guide · backtest 한국어
equity · US
BXP, Inc. backtest
10 trend-following strategies were compared on the full daily history of BXP, Inc.. 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 3.3%, drawdown -75.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.9%, MDD -15.8%, Sharpe 0.32, 7% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 3.3%, MDD -66.6%, exposure 76%.
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=31, k=3.2 |
1.9% | -15.8% | 0.32 | 0.12 | 1.7x | 25 | 7% |
| Donchian 채널 돌파 entryN=21, exitN=72 |
3.3% | -66.6% | 0.26 | 0.05 | 2.5x | 73 | 76% |
| ADX / DI 방향성 period=33, threshold=38 |
0.3% | -6.5% | 0.20 | 0.04 | 1.1x | 2 | 1% |
| Supertrend period=15, mult=3.2 |
1.5% | -64.4% | 0.17 | 0.02 | 1.6x | 183 | 53% |
| EMA 크로스오버 fast=41, slow=58 |
1.5% | -64.1% | 0.17 | 0.02 | 1.5x | 91 | 59% |
| SMA 크로스오버 fast=20, slow=163 |
0.1% | -76.3% | 0.10 | 0.00 | 1.0x | 79 | 58% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=28, mult=4 |
-0.2% | -45.9% | 0.03 | -0.00 | 0.9x | 59 | 17% |
| ROC 모멘텀 n=193, threshold=0.11 |
-0.9% | -69.1% | 0.00 | -0.01 | 0.8x | 202 | 36% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-4.6% | -87.5% | -0.10 | -0.05 | 0.3x | 265 | 55% |
| MACD fast=24, slow=33, signal=10 |
-5.5% | -87.9% | -0.14 | -0.06 | 0.2x | 401 | 51% |
| Buy and hold | 3.3% | -75.9% | 0.26 | 0.04 | 2.6x | 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 31-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 31-day middle average