Trend-Following Backtester · Guide · backtest 한국어
equity · US
Barrett Business Services, Inc. backtest
10 trend-following strategies were compared on the full daily history of Barrett Business Services, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.5%, drawdown -87.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.1%, MDD -93.9%, Sharpe 0.44, 70% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=42, exitN=73 |
10.1% | -93.9% | 0.44 | 0.11 | 24.7x | 59 | 70% |
| EMA 크로스오버 fast=28, slow=180 |
7.6% | -88.3% | 0.38 | 0.09 | 11.3x | 56 | 58% |
| SMA 크로스오버 fast=25, slow=176 |
7.5% | -90.8% | 0.38 | 0.08 | 11.0x | 59 | 59% |
| MACD fast=40, slow=44, signal=20 |
3.8% | -86.5% | 0.29 | 0.04 | 3.4x | 264 | 52% |
| Supertrend period=19, mult=4.8 |
3.4% | -97.5% | 0.28 | 0.03 | 3.0x | 102 | 61% |
| ROC 모멘텀 n=52, threshold=-0.1 |
2.4% | -98.8% | 0.28 | 0.02 | 2.2x | 309 | 78% |
| 볼린저 밴드 돌파 n=40, k=3 |
0.2% | -79.8% | 0.13 | 0.00 | 1.1x | 96 | 20% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=20, mult=3.8 |
0.1% | -85.1% | 0.11 | 0.00 | 1.0x | 70 | 16% |
| Parabolic SAR step=0.015, maxStep=0.24 |
-4.4% | -98.5% | 0.10 | -0.05 | 0.2x | 522 | 53% |
| ADX / DI 방향성 period=16, threshold=20 |
-3.8% | -92.3% | 0.02 | -0.04 | 0.3x | 348 | 30% |
| Buy and hold | 12.5% | -87.7% | 0.50 | 0.14 | 50.6x | 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 42 days
- Sell — Sell when price breaks below the lowest low of the last 73 days