Trend-Following Backtester · Guide · backtest 한국어

equity · US

Brown & Brown, Inc. backtest

10 trend-following strategies were compared on the full daily history of Brown & Brown, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.3%, MDD -41.2%).

Data 1981-02-11 ~ 2026-07-31daily bars 11,459 (45.5 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 14.0%, drawdown -56.3%).

Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.3%, MDD -41.2%, Sharpe 0.60, 66% exposure.

Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.8%p lower than buy and hold, while drawdown improves by 15.1%p (CAGR 12.3%, MDD -41.2%, exposure 66%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
SMA 크로스오버
fast=20, slow=181
12.3%-41.2%0.600.30192.6x8066%
Donchian 채널 돌파
entryN=83, exitN=100
10.5%-44.0%0.530.2492.7x4560%
EMA 크로스오버
fast=49, slow=190
10.4%-50.8%0.520.2190.9x6870%
Supertrend
period=16, mult=5
7.6%-45.5%0.440.1727.6x11755%
볼린저 밴드 돌파
n=16, k=3.5
2.9%-40.3%0.380.073.6x327%
ADX / DI 방향성
period=40, threshold=11
6.4%-59.9%0.380.1116.9x24559%
ROC 모멘텀
n=147, threshold=0.01
6.4%-67.2%0.380.1017.0x35064%
Parabolic SAR
step=0.005, maxStep=0.26
5.9%-51.7%0.370.1113.5x31956%
Keltner 채널 돌파
emaPeriod=69, atrPeriod=19, mult=2.7
4.2%-45.8%0.320.096.4x14137%
MACD
fast=33, slow=36, signal=32
2.5%-75.6%0.220.033.1x35750%
Buy and hold14.0%-56.3%0.580.25394.0x1100%
1x 10x 100x 1982 1988 1994 2000 2006 2012 2018 2024 SMA 크로스오버Buy and hold
SMA 크로스오버: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -14% -28% -42% -56% 1982 1988 1994 2000 2006 2012 2018 2024 Buy and holdSMA 크로스오버
SMA 크로스오버 maximum drawdown -41.2% (1983-03-24 → 1984-07-12), recovered after 960 days.

Rules of the top strategy

When the short average rises above the long average, it reads that as an uptrend starting.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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