Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Brigade Enterprises Limited backtest
10 trend-following strategies were compared on the full daily history of Brigade Enterprises Limited. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.7%, MDD -40.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR 6.1%, drawdown -92.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 20.6%, MDD -47.6%, Sharpe 0.74, 54% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 21.0%, MDD -59.3%, exposure 68%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 14.5%p higher than buy and hold, while drawdown improves by 45.1%p (CAGR 9.7%, MDD -40.7%, exposure 23%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=16, slow=120 |
20.6% | -47.6% | 0.74 | 0.43 | 33.5x | 45 | 54% |
| ROC 모멘텀 n=80, threshold=-0.01 |
20.5% | -58.7% | 0.73 | 0.35 | 32.8x | 167 | 57% |
| Donchian 채널 돌파 entryN=36, exitN=64 |
21.0% | -59.3% | 0.72 | 0.35 | 35.6x | 27 | 68% |
| ADX / DI 방향성 period=43, threshold=11 |
20.0% | -47.0% | 0.72 | 0.43 | 30.5x | 86 | 56% |
| EMA 크로스오버 fast=25, slow=56 |
18.6% | -57.8% | 0.69 | 0.32 | 24.6x | 59 | 55% |
| Supertrend period=14, mult=5 |
18.6% | -56.6% | 0.66 | 0.33 | 24.4x | 32 | 62% |
| MACD fast=22, slow=56, signal=14 |
12.4% | -71.1% | 0.52 | 0.17 | 9.0x | 178 | 52% |
| 볼린저 밴드 돌파 n=41, k=2.7 |
9.7% | -40.7% | 0.51 | 0.24 | 5.7x | 58 | 23% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=23, mult=0.7 |
11.3% | -55.3% | 0.50 | 0.20 | 7.4x | 168 | 47% |
| Parabolic SAR step=0.035, maxStep=0.36 |
2.9% | -69.2% | 0.25 | 0.04 | 1.7x | 522 | 50% |
| Buy and hold | 6.1% | -92.7% | 0.36 | 0.07 | 3.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 16-day average price crosses above the 120-day average
- Sell — Sell (to cash) when the 16-day average falls below the 120-day average