Trend-Following Backtester · Guide · backtest 한국어
equity · US
Brunswick Corporation backtest
10 trend-following strategies were compared on the full daily history of Brunswick Corporation. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.1%, MDD -71.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.2%, drawdown -96.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.4%, MDD -85.4%, Sharpe 0.45, 85% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 10.6%p (CAGR 7.1%, MDD -71.5%, exposure 56%).
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=9, exitN=70 |
10.4% | -85.4% | 0.45 | 0.12 | 83.7x | 151 | 85% |
| SMA 크로스오버 fast=9, slow=85 |
7.1% | -71.5% | 0.39 | 0.10 | 21.4x | 219 | 56% |
| MACD fast=32, slow=59, signal=27 |
7.3% | -79.9% | 0.39 | 0.09 | 23.4x | 318 | 52% |
| EMA 크로스오버 fast=20, slow=53 |
6.9% | -73.1% | 0.38 | 0.09 | 19.8x | 199 | 57% |
| Supertrend period=8, mult=3.8 |
6.8% | -81.6% | 0.37 | 0.08 | 18.8x | 232 | 56% |
| ROC 모멘텀 n=87, threshold=0.13 |
5.2% | -61.2% | 0.33 | 0.09 | 9.6x | 408 | 33% |
| 볼린저 밴드 돌파 n=48, k=1.7 |
4.9% | -68.1% | 0.32 | 0.07 | 8.5x | 234 | 39% |
| Parabolic SAR step=0.005, maxStep=0.3 |
5.0% | -75.5% | 0.31 | 0.07 | 8.7x | 385 | 54% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=15, mult=3.1 |
4.2% | -57.3% | 0.30 | 0.07 | 6.2x | 150 | 31% |
| ADX / DI 방향성 period=22, threshold=24 |
3.4% | -42.3% | 0.29 | 0.08 | 4.5x | 166 | 18% |
| Buy and hold | 8.2% | -96.0% | 0.40 | 0.09 | 33.8x | 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 9 days
- Sell — Sell when price breaks below the lowest low of the last 70 days