Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Browave Corporation backtest
10 trend-following strategies were compared on the full daily history of Browave Corporation. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 25.7%, MDD -43.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 25.4%, drawdown -84.0%).
Sharpe leader (same as main): Supertrend — CAGR 26.6%, MDD -49.5%, Sharpe 0.81, 62% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 27.5%, MDD -55.1%, exposure 60%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 34.5%p (CAGR 25.7%, MDD -43.5%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=11, mult=3.8 |
26.6% | -49.5% | 0.81 | 0.54 | 27.8x | 62 | 62% |
| EMA 크로스오버 fast=45, slow=192 |
27.5% | -55.1% | 0.80 | 0.50 | 30.8x | 9 | 60% |
| SMA 크로스오버 fast=9, slow=29 |
25.7% | -43.5% | 0.80 | 0.59 | 25.3x | 138 | 53% |
| MACD fast=17, slow=48, signal=9 |
21.7% | -47.7% | 0.75 | 0.46 | 16.0x | 180 | 49% |
| ROC 모멘텀 n=128, threshold=-0.03 |
22.8% | -67.0% | 0.71 | 0.34 | 18.1x | 93 | 62% |
| Donchian 채널 돌파 entryN=56, exitN=41 |
20.4% | -57.4% | 0.69 | 0.35 | 13.7x | 32 | 44% |
| ADX / DI 방향성 period=35, threshold=8 |
20.0% | -58.1% | 0.66 | 0.34 | 13.1x | 152 | 63% |
| Parabolic SAR step=0.01, maxStep=0.12 |
17.9% | -60.2% | 0.65 | 0.30 | 10.2x | 172 | 49% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=19, mult=2.4 |
14.1% | -32.5% | 0.64 | 0.43 | 6.5x | 70 | 19% |
| 볼린저 밴드 돌파 n=41, k=1.4 |
16.1% | -43.3% | 0.61 | 0.37 | 8.2x | 100 | 39% |
| Buy and hold | 25.4% | -84.0% | 0.71 | 0.30 | 24.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 11-day volatility, 3.8× band
- Sell — Sell when price drops below the trend line (flips down)