Trend-Following Backtester · Guide · backtest 한국어
equity · US
Brinks Company (The) backtest
10 trend-following strategies were compared on the full daily history of Brinks Company (The). 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.1%, MDD -42.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 5.1%, drawdown -75.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.1%, MDD -42.8%, Sharpe 0.38, 52% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 32.2%p (CAGR 6.1%, MDD -42.8%, exposure 52%).
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=78, exitN=64 |
6.1% | -42.8% | 0.38 | 0.14 | 6.1x | 51 | 52% |
| SMA 크로스오버 fast=43, slow=111 |
5.8% | -53.2% | 0.36 | 0.11 | 5.7x | 73 | 56% |
| EMA 크로스오버 fast=31, slow=95 |
5.2% | -62.7% | 0.34 | 0.08 | 4.8x | 77 | 57% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=16, mult=2 |
3.8% | -45.2% | 0.29 | 0.08 | 3.1x | 136 | 44% |
| ROC 모멘텀 n=146, threshold=-0.02 |
3.9% | -56.3% | 0.28 | 0.07 | 3.3x | 182 | 58% |
| 볼린저 밴드 돌파 n=59, k=2.5 |
2.3% | -40.4% | 0.22 | 0.06 | 2.0x | 75 | 25% |
| Supertrend period=15, mult=3 |
1.3% | -60.7% | 0.17 | 0.02 | 1.5x | 206 | 55% |
| ADX / DI 방향성 period=39, threshold=15 |
0.3% | -54.4% | 0.10 | 0.01 | 1.1x | 154 | 29% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-3.4% | -78.9% | -0.02 | -0.04 | 0.3x | 252 | 54% |
| MACD fast=11, slow=31, signal=19 |
-3.6% | -83.5% | -0.04 | -0.04 | 0.3x | 462 | 50% |
| Buy and hold | 5.1% | -75.0% | 0.32 | 0.07 | 4.5x | 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 78 days
- Sell — Sell when price breaks below the lowest low of the last 64 days