Trend-Following Backtester · Guide · backtest 한국어
equity · US
Brighthouse Financial, Inc. backtest
10 trend-following strategies were compared on the full daily history of Brighthouse Financial, Inc.. 3 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 0.4%, MDD -10.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR -1.4%, drawdown -77.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR -1.0%, MDD -55.9%, Sharpe 0.17, 74% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 0.4%, MDD -10.3%, exposure 3%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 21.2%p (CAGR 0.4%, MDD -10.3%, exposure 3%).
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=21, exitN=62 |
-1.0% | -55.9% | 0.17 | -0.02 | 0.9x | 25 | 74% |
| ADX / DI 방향성 period=15, threshold=36 |
0.4% | -10.3% | 0.13 | 0.04 | 1.0x | 8 | 3% |
| MACD fast=19, slow=39, signal=19 |
-1.8% | -59.7% | 0.11 | -0.03 | 0.9x | 100 | 51% |
| 볼린저 밴드 돌파 n=20, k=3.5 |
-0.0% | -20.8% | 0.04 | -0.00 | 1.0x | 4 | 1% |
| SMA 크로스오버 fast=49, slow=143 |
-4.2% | -59.5% | 0.02 | -0.07 | 0.7x | 19 | 50% |
| Supertrend period=29, mult=2.5 |
-7.7% | -66.8% | -0.07 | -0.12 | 0.5x | 90 | 53% |
| ROC 모멘텀 n=74, threshold=0.02 |
-8.0% | -63.0% | -0.16 | -0.13 | 0.5x | 133 | 47% |
| EMA 크로스오버 fast=28, slow=186 |
-7.9% | -61.6% | -0.16 | -0.13 | 0.5x | 19 | 48% |
| Parabolic SAR step=0.045, maxStep=0.2 |
-10.2% | -64.9% | -0.19 | -0.16 | 0.4x | 293 | 52% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=22, mult=3.6 |
-2.8% | -38.1% | -0.20 | -0.07 | 0.8x | 12 | 5% |
| Buy and hold | -1.4% | -77.0% | 0.21 | -0.02 | 0.9x | 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 21 days
- Sell — Sell when price breaks below the lowest low of the last 62 days