Trend-Following Backtester · Guide · backtest 한국어
equity · US
Broadstone Net Lease, Inc. backtest
10 trend-following strategies were compared on the full daily history of Broadstone Net Lease, Inc.. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 10.7%, MDD -10.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 4.1%, drawdown -50.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 10.7%, MDD -10.0%, Sharpe 1.06, 23% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.5%p higher than buy and hold, while drawdown improves by 40.6%p (CAGR 10.7%, MDD -10.0%, exposure 23%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=32, k=2.4 |
10.7% | -10.0% | 1.06 | 1.07 | 1.8x | 14 | 23% |
| ADX / DI 방향성 period=27, threshold=28 |
4.4% | -10.0% | 0.76 | 0.44 | 1.3x | 2 | 6% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=27, mult=2.7 |
4.8% | -13.3% | 0.50 | 0.36 | 1.3x | 14 | 26% |
| Donchian 채널 돌파 entryN=108, exitN=19 |
4.4% | -13.9% | 0.50 | 0.31 | 1.3x | 12 | 22% |
| EMA 크로스오버 fast=36, slow=121 |
5.3% | -29.0% | 0.45 | 0.18 | 1.4x | 9 | 43% |
| SMA 크로스오버 fast=13, slow=144 |
3.9% | -32.2% | 0.35 | 0.12 | 1.3x | 15 | 44% |
| Supertrend period=14, mult=4.3 |
3.9% | -37.8% | 0.33 | 0.10 | 1.3x | 18 | 49% |
| ROC 모멘텀 n=139, threshold=0.05 |
3.0% | -32.6% | 0.31 | 0.09 | 1.2x | 31 | 38% |
| Parabolic SAR step=0.02, maxStep=0.14 |
2.5% | -37.1% | 0.24 | 0.07 | 1.2x | 123 | 52% |
| MACD fast=16, slow=35, signal=14 |
1.2% | -41.1% | 0.16 | 0.03 | 1.1x | 76 | 49% |
| Buy and hold | 4.1% | -50.6% | 0.29 | 0.08 | 1.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 32-day average (2.4× volatility)
- Sell — Sell when the close falls back to the 32-day middle average