Trend-Following Backtester · Guide · backtest 한국어
equity · CA
BRP, Inc. backtest
10 trend-following strategies were compared on the full daily history of BRP, Inc.. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 10.4%, MDD -40.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 10.0%, drawdown -73.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 18.7%, MDD -59.2%, Sharpe 0.69, 75% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.7%p higher than buy and hold, while drawdown improves by 14.4%p (CAGR 10.4%, MDD -40.8%, exposure 41%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=23, exitN=72 |
18.7% | -59.2% | 0.69 | 0.32 | 9.8x | 27 | 75% |
| Supertrend period=20, mult=3.8 |
12.1% | -48.5% | 0.56 | 0.25 | 4.6x | 61 | 57% |
| ADX / DI 방향성 period=39, threshold=13 |
10.4% | -40.8% | 0.54 | 0.26 | 3.7x | 74 | 41% |
| MACD fast=17, slow=34, signal=13 |
11.3% | -53.3% | 0.53 | 0.21 | 4.1x | 160 | 49% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=23, mult=1.5 |
10.2% | -45.4% | 0.51 | 0.22 | 3.6x | 82 | 45% |
| 볼린저 밴드 돌파 n=52, k=1.1 |
8.8% | -32.7% | 0.48 | 0.27 | 3.0x | 76 | 47% |
| SMA 크로스오버 fast=21, slow=159 |
7.6% | -56.5% | 0.41 | 0.13 | 2.6x | 24 | 54% |
| EMA 크로스오버 fast=54, slow=92 |
7.6% | -54.3% | 0.41 | 0.14 | 2.7x | 23 | 56% |
| ROC 모멘텀 n=104, threshold=0.04 |
4.1% | -54.3% | 0.29 | 0.08 | 1.7x | 112 | 50% |
| Parabolic SAR step=0.005, maxStep=0.22 |
2.1% | -62.9% | 0.22 | 0.03 | 1.3x | 115 | 54% |
| Buy and hold | 10.0% | -73.6% | 0.44 | 0.14 | 3.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 23 days
- Sell — Sell when price breaks below the lowest low of the last 72 days