Trend-Following Backtester · Guide · backtest 한국어
equity · US
Brookfield Corporation backtest
10 trend-following strategies were compared on the full daily history of Brookfield Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 8.3%, MDD -58.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.4%, drawdown -79.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.0%, MDD -64.1%, Sharpe 0.56, 67% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 15.8%p (CAGR 8.3%, MDD -58.8%, exposure 70%).
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=46, slow=218 |
10.0% | -64.1% | 0.56 | 0.16 | 59.0x | 52 | 67% |
| EMA 크로스오버 fast=54, slow=98 |
8.5% | -63.8% | 0.50 | 0.13 | 32.0x | 66 | 67% |
| Donchian 채널 돌파 entryN=116, exitN=104 |
7.9% | -55.8% | 0.49 | 0.14 | 25.0x | 44 | 66% |
| ROC 모멘텀 n=162, threshold=-0.02 |
8.3% | -58.8% | 0.49 | 0.14 | 29.4x | 252 | 70% |
| Keltner 채널 돌파 emaPeriod=126, atrPeriod=20, mult=2.6 |
6.0% | -55.9% | 0.42 | 0.11 | 11.9x | 142 | 57% |
| Supertrend period=8, mult=4.8 |
5.6% | -66.6% | 0.39 | 0.08 | 10.3x | 173 | 61% |
| 볼린저 밴드 돌파 n=54, k=3.1 |
1.9% | -26.1% | 0.26 | 0.07 | 2.2x | 46 | 14% |
| Parabolic SAR step=0.005, maxStep=0.22 |
2.2% | -60.8% | 0.21 | 0.04 | 2.6x | 354 | 56% |
| MACD fast=17, slow=25, signal=14 |
2.0% | -54.0% | 0.20 | 0.04 | 2.4x | 606 | 50% |
| ADX / DI 방향성 period=32, threshold=11 |
1.4% | -56.5% | 0.17 | 0.02 | 1.8x | 430 | 51% |
| Buy and hold | 10.4% | -79.8% | 0.49 | 0.13 | 68.8x | 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 46-day average price crosses above the 218-day average
- Sell — Sell (to cash) when the 46-day average falls below the 218-day average