Trend-Following Backtester · Guide · backtest 한국어
equity · US
Bridgewater Bancshares, Inc. backtest
10 trend-following strategies were compared on the full daily history of Bridgewater Bancshares, Inc.. 2 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 8.0%, MDD -27.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.9%, drawdown -59.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.9%, MDD -33.0%, Sharpe 0.47, 67% exposure.
Return/drawdown alternative: Supertrend — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 26.5%p (CAGR 8.0%, MDD -27.8%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=147, threshold=-0.06 |
8.9% | -33.0% | 0.47 | 0.27 | 2.0x | 27 | 67% |
| Supertrend period=10, mult=3.5 |
8.0% | -27.8% | 0.44 | 0.29 | 1.9x | 27 | 61% |
| 볼린저 밴드 돌파 n=73, k=1.3 |
5.6% | -28.2% | 0.37 | 0.20 | 1.6x | 35 | 44% |
| Donchian 채널 돌파 entryN=88, exitN=63 |
5.5% | -31.0% | 0.36 | 0.18 | 1.6x | 11 | 55% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=24, mult=2.3 |
4.5% | -26.2% | 0.33 | 0.17 | 1.5x | 23 | 36% |
| SMA 크로스오버 fast=27, slow=159 |
5.1% | -36.1% | 0.33 | 0.14 | 1.5x | 15 | 59% |
| EMA 크로스오버 fast=47, slow=100 |
4.5% | -33.4% | 0.31 | 0.14 | 1.4x | 15 | 60% |
| MACD fast=24, slow=45, signal=18 |
0.2% | -37.6% | 0.13 | 0.01 | 1.0x | 88 | 49% |
| Parabolic SAR step=0.02, maxStep=0.24 |
-1.7% | -52.8% | 0.05 | -0.03 | 0.9x | 176 | 52% |
| ADX / DI 방향성 period=38, threshold=11 |
-5.5% | -62.8% | -0.15 | -0.09 | 0.6x | 68 | 44% |
| Buy and hold | 5.9% | -59.5% | 0.34 | 0.10 | 1.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 147-day return is greater than -6%
- Sell — Sell when the 147-day return drops to -6% or below