Trend-Following Backtester · Guide · backtest 한국어
equity · US
DBA Sempra backtest
10 trend-following strategies were compared on the full daily history of DBA Sempra. 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 6.7%, drawdown -45.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.9%, MDD -7.0%, Sharpe 0.36, 2% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 4.1%, MDD -50.1%, exposure 92%.
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=41, k=3.5 |
0.9% | -7.0% | 0.36 | 0.12 | 1.3x | 6 | 2% |
| Donchian 채널 돌파 entryN=135, exitN=105 |
3.9% | -28.8% | 0.33 | 0.13 | 2.9x | 27 | 58% |
| SMA 크로스오버 fast=50, slow=218 |
4.0% | -45.0% | 0.31 | 0.09 | 3.0x | 35 | 63% |
| ROC 모멘텀 n=104, threshold=-0.15 |
4.1% | -50.1% | 0.30 | 0.08 | 3.1x | 89 | 92% |
| EMA 크로스오버 fast=58, slow=180 |
3.6% | -53.1% | 0.29 | 0.07 | 2.7x | 33 | 65% |
| Supertrend period=29, mult=4.6 |
2.1% | -33.1% | 0.21 | 0.06 | 1.8x | 92 | 62% |
| ADX / DI 방향성 period=39, threshold=26 |
-0.0% | -10.1% | 0.01 | -0.00 | 1.0x | 6 | 2% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=27, mult=3.1 |
-0.2% | -16.8% | -0.07 | -0.01 | 0.9x | 10 | 1% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-3.4% | -67.1% | -0.12 | -0.05 | 0.4x | 258 | 57% |
| MACD fast=19, slow=38, signal=19 |
-3.3% | -66.0% | -0.12 | -0.05 | 0.4x | 336 | 50% |
| Buy and hold | 6.7% | -45.2% | 0.39 | 0.15 | 6.2x | 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 41-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 41-day middle average