Trend-Following Backtester · Guide · backtest 한국어
equity · US
Beacon Financial Corporation backtest
10 trend-following strategies were compared on the full daily history of Beacon Financial Corporation. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.6%, MDD -58.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 3.6%, drawdown -80.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.1%, MDD -16.3%, Sharpe 0.30, 4% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 4.6%, MDD -58.9%, exposure 73%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 63.7%p (CAGR 4.6%, MDD -58.9%, exposure 73%).
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=17, k=3.1 |
2.1% | -16.3% | 0.30 | 0.13 | 1.7x | 26 | 4% |
| Donchian 채널 돌파 entryN=61, exitN=128 |
4.6% | -58.9% | 0.30 | 0.08 | 3.2x | 29 | 73% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=20, mult=3.6 |
1.6% | -49.5% | 0.18 | 0.03 | 1.5x | 52 | 22% |
| EMA 크로스오버 fast=70, slow=167 |
1.6% | -53.9% | 0.18 | 0.03 | 1.5x | 33 | 57% |
| SMA 크로스오버 fast=52, slow=76 |
1.3% | -63.9% | 0.17 | 0.02 | 1.4x | 124 | 56% |
| Supertrend period=25, mult=4.9 |
-2.1% | -78.0% | 0.01 | -0.03 | 0.6x | 90 | 54% |
| ADX / DI 방향성 period=23, threshold=36 |
-0.0% | -17.3% | 0.01 | -0.00 | 1.0x | 12 | 3% |
| ROC 모멘텀 n=93, threshold=0.14 |
-2.8% | -62.1% | -0.15 | -0.05 | 0.5x | 190 | 17% |
| MACD fast=15, slow=50, signal=16 |
-7.0% | -93.6% | -0.19 | -0.07 | 0.1x | 324 | 50% |
| Parabolic SAR step=0.015, maxStep=0.3 |
-9.1% | -96.8% | -0.31 | -0.09 | 0.1x | 480 | 51% |
| Buy and hold | 3.6% | -80.0% | 0.27 | 0.05 | 2.5x | 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 17-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 17-day middle average