Trend-Following Backtester · Guide · backtest 한국어
equity · US
Bright Horizons Family Solutions Inc. backtest
10 trend-following strategies were compared on the full daily history of Bright Horizons Family Solutions Inc.. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.0%, MDD -35.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 7.3%, drawdown -69.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.0%, MDD -36.3%, Sharpe 0.57, 78% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 33.1%p (CAGR 9.0%, MDD -35.4%, exposure 65%).
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=74, exitN=183 |
11.0% | -36.3% | 0.57 | 0.30 | 4.1x | 6 | 78% |
| ROC 모멘텀 n=142, threshold=-0.05 |
10.0% | -41.2% | 0.56 | 0.24 | 3.7x | 34 | 70% |
| SMA 크로스오버 fast=89, slow=243 |
10.7% | -60.0% | 0.56 | 0.18 | 4.0x | 8 | 65% |
| EMA 크로스오버 fast=7, slow=231 |
9.0% | -35.4% | 0.53 | 0.25 | 3.2x | 20 | 65% |
| Supertrend period=22, mult=5 |
2.5% | -72.0% | 0.22 | 0.04 | 1.4x | 41 | 72% |
| ADX / DI 방향성 period=25, threshold=20 |
1.7% | -23.2% | 0.20 | 0.07 | 1.3x | 64 | 20% |
| 볼린저 밴드 돌파 n=13, k=2.9 |
0.9% | -25.7% | 0.17 | 0.04 | 1.1x | 20 | 5% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-0.7% | -52.6% | 0.08 | -0.01 | 0.9x | 130 | 58% |
| MACD fast=11, slow=43, signal=18 |
-2.6% | -61.0% | -0.02 | -0.04 | 0.7x | 184 | 50% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=8, mult=2.9 |
-2.4% | -50.5% | -0.12 | -0.05 | 0.7x | 48 | 23% |
| Buy and hold | 7.3% | -69.3% | 0.38 | 0.11 | 2.6x | 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 74 days
- Sell — Sell when price breaks below the lowest low of the last 183 days