Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Brookfield Renewable Partners LP backtest
10 trend-following strategies were compared on the full daily history of Brookfield Renewable Partners LP. 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 8.3%, drawdown -56.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.4%, MDD -27.5%, Sharpe 0.31, 15% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 3.6%, MDD -51.3%, exposure 88%.
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=58, k=3.5 |
2.4% | -27.5% | 0.31 | 0.09 | 1.8x | 26 | 15% |
| Donchian 채널 돌파 entryN=11, exitN=79 |
3.6% | -51.3% | 0.27 | 0.07 | 2.5x | 57 | 88% |
| EMA 크로스오버 fast=41, slow=116 |
3.4% | -69.6% | 0.27 | 0.05 | 2.4x | 47 | 65% |
| SMA 크로스오버 fast=38, slow=205 |
3.4% | -66.7% | 0.27 | 0.05 | 2.4x | 37 | 64% |
| ADX / DI 방향성 period=33, threshold=27 |
1.0% | -18.1% | 0.24 | 0.05 | 1.3x | 14 | 4% |
| Supertrend period=16, mult=4.4 |
1.2% | -55.4% | 0.15 | 0.02 | 1.3x | 90 | 60% |
| ROC 모멘텀 n=244, threshold=0.01 |
0.5% | -59.0% | 0.12 | 0.01 | 1.1x | 167 | 63% |
| Keltner 채널 돌파 emaPeriod=65, atrPeriod=16, mult=4 |
0.2% | -44.3% | 0.07 | 0.00 | 1.0x | 48 | 22% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-2.4% | -79.2% | -0.07 | -0.03 | 0.5x | 222 | 54% |
| MACD fast=19, slow=28, signal=18 |
-5.9% | -86.2% | -0.29 | -0.07 | 0.2x | 342 | 51% |
| Buy and hold | 8.3% | -56.0% | 0.45 | 0.15 | 7.8x | 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 58-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 58-day middle average