Trend-Following Backtester · Guide · backtest 한국어
equity · US
Builders FirstSource, Inc. backtest
10 trend-following strategies were compared on the full daily history of Builders FirstSource, Inc.. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 20.8%, MDD -60.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR 7.8%, drawdown -96.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 20.8%, MDD -60.4%, Sharpe 0.66, 52% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 12.9%p higher than buy and hold, while drawdown improves by 36.4%p (CAGR 20.8%, MDD -60.4%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=13, slow=117 |
20.8% | -60.4% | 0.66 | 0.34 | 53.7x | 58 | 52% |
| EMA 크로스오버 fast=33, slow=73 |
17.3% | -61.7% | 0.59 | 0.28 | 28.8x | 52 | 53% |
| Donchian 채널 돌파 entryN=39, exitN=77 |
17.4% | -69.7% | 0.57 | 0.25 | 29.5x | 39 | 63% |
| 볼린저 밴드 돌파 n=90, k=1.2 |
15.6% | -60.5% | 0.56 | 0.26 | 21.2x | 64 | 42% |
| ROC 모멘텀 n=75, threshold=0.1 |
10.9% | -70.9% | 0.47 | 0.15 | 8.9x | 238 | 41% |
| MACD fast=31, slow=49, signal=25 |
11.7% | -62.3% | 0.46 | 0.19 | 10.4x | 156 | 52% |
| Supertrend period=8, mult=3.2 |
8.5% | -84.1% | 0.40 | 0.10 | 5.6x | 116 | 55% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=19, mult=2.3 |
7.4% | -63.4% | 0.37 | 0.12 | 4.5x | 84 | 38% |
| ADX / DI 방향성 period=22, threshold=9 |
4.5% | -77.3% | 0.31 | 0.06 | 2.5x | 306 | 54% |
| Parabolic SAR step=0.015, maxStep=0.24 |
0.8% | -77.1% | 0.24 | 0.01 | 1.2x | 380 | 52% |
| Buy and hold | 7.8% | -96.8% | 0.44 | 0.08 | 4.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 13-day average price crosses above the 117-day average
- Sell — Sell (to cash) when the 13-day average falls below the 117-day average