Trend-Following Backtester · Guide · backtest 한국어
equity · US
Bread Financial Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Bread Financial Holdings, Inc.. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.0%, MDD -47.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 9.6%, drawdown -92.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.7%, MDD -49.7%, Sharpe 0.60, 54% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 13.0%, MDD -59.6%, exposure 75%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 43.0%p (CAGR 11.0%, MDD -47.1%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=156, threshold=0.04 |
12.7% | -49.7% | 0.60 | 0.26 | 20.5x | 151 | 54% |
| SMA 크로스오버 fast=16, slow=246 |
11.0% | -47.1% | 0.55 | 0.23 | 13.9x | 43 | 58% |
| Donchian 채널 돌파 entryN=24, exitN=62 |
13.0% | -59.6% | 0.54 | 0.22 | 21.8x | 59 | 75% |
| EMA 크로스오버 fast=14, slow=141 |
10.6% | -56.3% | 0.52 | 0.19 | 12.6x | 55 | 60% |
| Supertrend period=26, mult=4.3 |
6.9% | -60.7% | 0.38 | 0.11 | 5.3x | 107 | 59% |
| 볼린저 밴드 돌파 n=58, k=3.4 |
2.1% | -38.0% | 0.25 | 0.05 | 1.7x | 19 | 12% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=20, mult=3.9 |
2.1% | -50.6% | 0.21 | 0.04 | 1.7x | 65 | 28% |
| MACD fast=13, slow=29, signal=18 |
0.7% | -64.1% | 0.17 | 0.01 | 1.2x | 338 | 50% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-0.2% | -70.3% | 0.13 | -0.00 | 1.0x | 227 | 54% |
| ADX / DI 방향성 period=35, threshold=10 |
0.3% | -66.1% | 0.13 | 0.00 | 1.1x | 279 | 49% |
| Buy and hold | 9.6% | -92.7% | 0.43 | 0.10 | 10.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 156-day return is greater than 4%
- Sell — Sell when the 156-day return drops to 4% or below