Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Brookfield Infrastructure Corporation Class A backtest
10 trend-following strategies were compared on the full daily history of Brookfield Infrastructure Corporation Class A. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.0%, MDD -24.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.7%, drawdown -46.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.6%, MDD -0.5%, Sharpe 0.70, 0% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.0%, MDD -24.1%, exposure 83%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 8.1%p lower than buy and hold, while drawdown improves by 46.1%p (CAGR 9.0%, MDD -24.1%, exposure 83%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=35, threshold=32 |
1.6% | -0.5% | 0.70 | 3.12 | 1.1x | 2 | 0% |
| Donchian 채널 돌파 entryN=18, exitN=78 |
9.0% | -24.1% | 0.48 | 0.37 | 1.7x | 13 | 83% |
| Supertrend period=15, mult=3.2 |
6.3% | -35.3% | 0.40 | 0.18 | 1.5x | 41 | 55% |
| MACD fast=12, slow=17, signal=8 |
3.9% | -33.3% | 0.29 | 0.12 | 1.3x | 129 | 51% |
| Parabolic SAR step=0.015, maxStep=0.32 |
3.3% | -28.2% | 0.26 | 0.12 | 1.2x | 109 | 55% |
| ROC 모멘텀 n=80, threshold=-0.04 |
2.8% | -42.6% | 0.24 | 0.07 | 1.2x | 39 | 65% |
| EMA 크로스오버 fast=14, slow=20 |
2.8% | -35.3% | 0.24 | 0.08 | 1.2x | 49 | 58% |
| 볼린저 밴드 돌파 n=55, k=3.5 |
1.4% | -8.5% | 0.23 | 0.17 | 1.1x | 4 | 10% |
| SMA 크로스오버 fast=47, slow=110 |
1.6% | -44.1% | 0.18 | 0.04 | 1.1x | 14 | 57% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=22, mult=3.1 |
0.9% | -30.5% | 0.14 | 0.03 | 1.1x | 18 | 26% |
| Buy and hold | 9.7% | -46.6% | 0.47 | 0.21 | 1.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 35-day) is ≥ 32
- Sell — Sell when direction flips or the trend weakens (ADX < 32)