Trend-Following Backtester · Guide · backtest 한국어
equity · US
Broadridge Financial Solutions, Inc. backtest
10 trend-following strategies were compared on the full daily history of Broadridge Financial Solutions, Inc.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.8%, MDD -30.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 11.1%, drawdown -59.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.8%, MDD -30.5%, Sharpe 0.62, 78% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 11.5%, MDD -46.9%, exposure 89%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 28.9%p (CAGR 10.8%, MDD -30.5%, exposure 78%).
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=28, exitN=61 |
10.8% | -30.5% | 0.62 | 0.35 | 7.2x | 41 | 78% |
| ROC 모멘텀 n=31, threshold=-0.09 |
11.5% | -46.9% | 0.61 | 0.25 | 8.2x | 121 | 89% |
| EMA 크로스오버 fast=33, slow=91 |
9.1% | -42.0% | 0.57 | 0.22 | 5.4x | 36 | 71% |
| SMA 크로스오버 fast=18, slow=211 |
8.9% | -35.9% | 0.57 | 0.25 | 5.2x | 24 | 71% |
| Supertrend period=16, mult=3.2 |
6.1% | -33.8% | 0.43 | 0.18 | 3.2x | 121 | 59% |
| MACD fast=19, slow=53, signal=19 |
6.2% | -45.9% | 0.43 | 0.13 | 3.2x | 179 | 51% |
| 볼린저 밴드 돌파 n=35, k=1.8 |
4.5% | -26.4% | 0.39 | 0.17 | 2.4x | 131 | 41% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=26, mult=2.3 |
3.2% | -32.3% | 0.32 | 0.10 | 1.9x | 100 | 39% |
| ADX / DI 방향성 period=15, threshold=31 |
1.3% | -20.7% | 0.21 | 0.06 | 1.3x | 66 | 14% |
| Parabolic SAR step=0.005, maxStep=0.34 |
1.6% | -47.0% | 0.18 | 0.03 | 1.4x | 183 | 57% |
| Buy and hold | 11.1% | -59.4% | 0.53 | 0.19 | 7.6x | 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 28 days
- Sell — Sell when price breaks below the lowest low of the last 61 days