Trend-Following Backtester · Guide · backtest 한국어
equity · US
Bristow Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Bristow Group, Inc.. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.8%, MDD -26.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 1.7%, drawdown -89.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.8%, MDD -26.1%, Sharpe 0.40, 15% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 63.2%p (CAGR 5.8%, MDD -26.1%, exposure 15%).
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=55, k=3.3 |
5.8% | -26.1% | 0.40 | 0.22 | 2.2x | 18 | 15% |
| Donchian 채널 돌파 entryN=18, exitN=41 |
4.5% | -59.4% | 0.31 | 0.08 | 1.8x | 41 | 72% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=13, mult=3.4 |
1.6% | -47.8% | 0.18 | 0.03 | 1.2x | 32 | 19% |
| ROC 모멘텀 n=46, threshold=0.11 |
0.7% | -50.5% | 0.16 | 0.01 | 1.1x | 158 | 26% |
| SMA 크로스오버 fast=29, slow=59 |
-3.3% | -66.7% | 0.09 | -0.05 | 0.6x | 75 | 49% |
| MACD fast=16, slow=28, signal=17 |
-5.4% | -78.0% | 0.03 | -0.07 | 0.5x | 183 | 50% |
| ADX / DI 방향성 period=22, threshold=25 |
-0.9% | -37.0% | 0.03 | -0.02 | 0.9x | 36 | 11% |
| EMA 크로스오버 fast=11, slow=26 |
-5.8% | -72.6% | 0.01 | -0.08 | 0.4x | 135 | 49% |
| Supertrend period=21, mult=1.8 |
-8.5% | -79.6% | -0.13 | -0.11 | 0.3x | 189 | 48% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-11.3% | -86.3% | -0.15 | -0.13 | 0.2x | 249 | 49% |
| Buy and hold | 1.7% | -89.4% | 0.28 | 0.02 | 1.2x | 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 55-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 55-day middle average