Trend-Following Backtester · Guide · backtest 한국어
equity · US
BellRing Brands, Inc. backtest
10 trend-following strategies were compared on the full daily history of BellRing Brands, Inc.. 8 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.0%, MDD -14.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR -6.0%, drawdown -90.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 19.4%, MDD -28.2%, Sharpe 0.86, 56% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 25.4%p higher than buy and hold, while drawdown improves by 61.9%p (CAGR 10.0%, MDD -14.1%, exposure 26%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=53, slow=174 |
19.4% | -28.2% | 0.86 | 0.69 | 3.4x | 4 | 56% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=34, mult=3.6 |
10.0% | -14.1% | 0.76 | 0.70 | 1.9x | 10 | 26% |
| ADX / DI 방향성 period=26, threshold=23 |
10.7% | -17.3% | 0.75 | 0.62 | 2.0x | 22 | 24% |
| Donchian 채널 돌파 entryN=93, exitN=60 |
12.6% | -19.9% | 0.75 | 0.63 | 2.3x | 6 | 39% |
| 볼린저 밴드 돌파 n=49, k=2.4 |
9.0% | -19.5% | 0.73 | 0.46 | 1.8x | 12 | 23% |
| SMA 크로스오버 fast=28, slow=209 |
15.0% | -28.2% | 0.73 | 0.53 | 2.6x | 8 | 51% |
| ROC 모멘텀 n=108, threshold=0.07 |
10.8% | -34.6% | 0.61 | 0.31 | 2.0x | 50 | 45% |
| Supertrend period=5, mult=4.7 |
9.9% | -41.5% | 0.49 | 0.24 | 1.9x | 18 | 59% |
| Parabolic SAR step=0.02, maxStep=0.28 |
-10.9% | -72.9% | -0.17 | -0.15 | 0.5x | 148 | 51% |
| MACD fast=6, slow=20, signal=13 |
-17.1% | -84.2% | -0.38 | -0.20 | 0.3x | 167 | 51% |
| Buy and hold | -6.0% | -90.0% | 0.12 | -0.07 | 0.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 53-day EMA crosses above the 174-day EMA
- Sell — Sell when the 53-day EMA falls below the 174-day EMA