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 11.7%, MDD -30.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 12.0%, drawdown -59.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.7%, MDD -30.5%, Sharpe 0.66, 78% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 12.4%, 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 11.7%, 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 |
11.7% | -30.5% | 0.66 | 0.38 | 8.6x | 41 | 78% |
| ROC 모멘텀 n=31, threshold=-0.09 |
12.4% | -46.9% | 0.64 | 0.27 | 9.8x | 121 | 89% |
| EMA 크로스오버 fast=33, slow=91 |
9.2% | -42.0% | 0.58 | 0.22 | 5.5x | 37 | 71% |
| SMA 크로스오버 fast=18, slow=211 |
8.8% | -35.9% | 0.56 | 0.25 | 5.2x | 24 | 71% |
| Supertrend period=16, mult=3.2 |
7.0% | -33.8% | 0.48 | 0.21 | 3.7x | 121 | 59% |
| MACD fast=19, slow=53, signal=19 |
7.1% | -45.9% | 0.47 | 0.15 | 3.8x | 179 | 51% |
| 볼린저 밴드 돌파 n=35, k=1.8 |
5.4% | -26.4% | 0.45 | 0.20 | 2.8x | 131 | 41% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=26, mult=2.3 |
3.6% | -32.3% | 0.35 | 0.11 | 2.0x | 101 | 39% |
| Parabolic SAR step=0.005, maxStep=0.34 |
2.5% | -47.0% | 0.23 | 0.05 | 1.6x | 183 | 57% |
| ADX / DI 방향성 period=15, threshold=31 |
1.2% | -20.7% | 0.19 | 0.06 | 1.3x | 67 | 14% |
| Buy and hold | 12.0% | -59.4% | 0.56 | 0.20 | 9.0x | 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