Trend-Following Backtester · Guide · backtest 한국어
equity · US
BRC Group Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of BRC Group Holdings, Inc.. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.6%, MDD -28.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR -15.7%, drawdown -99.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 11.8%, MDD -47.0%, Sharpe 0.52, 20% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 27.4%p higher than buy and hold, while drawdown improves by 52.3%p (CAGR 4.6%, MDD -28.2%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=28, k=3 |
11.8% | -47.0% | 0.52 | 0.25 | 8.3x | 62 | 20% |
| Donchian 채널 돌파 entryN=67, exitN=14 |
11.4% | -38.0% | 0.49 | 0.30 | 7.8x | 62 | 27% |
| SMA 크로스오버 fast=20, slow=83 |
9.7% | -55.3% | 0.42 | 0.18 | 5.8x | 66 | 47% |
| EMA 크로스오버 fast=39, slow=51 |
6.5% | -70.5% | 0.35 | 0.09 | 3.3x | 52 | 46% |
| ADX / DI 방향성 period=31, threshold=31 |
4.6% | -28.2% | 0.35 | 0.16 | 2.3x | 16 | 3% |
| ROC 모멘텀 n=149, threshold=0.11 |
4.1% | -86.9% | 0.29 | 0.05 | 2.1x | 133 | 35% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=27, mult=2.7 |
2.2% | -63.7% | 0.23 | 0.04 | 1.5x | 68 | 29% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-5.2% | -94.5% | 0.14 | -0.05 | 0.4x | 124 | 48% |
| Supertrend period=15, mult=3.4 |
-7.3% | -97.4% | 0.09 | -0.07 | 0.2x | 136 | 50% |
| MACD fast=19, slow=62, signal=19 |
-16.6% | -98.7% | -0.04 | -0.17 | 0.0x | 178 | 54% |
| Buy and hold | -15.7% | -99.3% | 0.21 | -0.16 | 0.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 28-day average (3× volatility)
- Sell — Sell when the close falls back to the 28-day middle average