Trend-Following Backtester · Guide · backtest 한국어
equity · US
Brightstar Lottery PLC Trading under the Legal Name to begin at the market open on July 21, 2025. backtest
10 trend-following strategies were compared on the full daily history of Brightstar Lottery PLC Trading under the Legal Name to begin at the market open on July 21, 2025.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 10.4%, MDD -49.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 8.6%, drawdown -92.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.5%, MDD -64.4%, Sharpe 0.65, 53% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 6.8%p higher than buy and hold, while drawdown improves by 27.9%p (CAGR 10.4%, MDD -49.8%, exposure 31%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=21, slow=186 |
15.5% | -64.4% | 0.65 | 0.24 | 187.2x | 58 | 53% |
| Donchian 채널 돌파 entryN=95, exitN=71 |
13.6% | -58.8% | 0.61 | 0.23 | 102.5x | 42 | 51% |
| EMA 크로스오버 fast=12, slow=147 |
12.4% | -64.0% | 0.56 | 0.19 | 69.1x | 88 | 54% |
| ROC 모멘텀 n=121, threshold=0.2 |
10.4% | -49.8% | 0.56 | 0.21 | 36.9x | 222 | 31% |
| ADX / DI 방향성 period=50, threshold=14 |
7.9% | -44.9% | 0.50 | 0.18 | 15.8x | 114 | 26% |
| 볼린저 밴드 돌파 n=59, k=2.4 |
7.9% | -52.0% | 0.47 | 0.15 | 15.9x | 94 | 31% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=12, mult=4 |
6.6% | -55.9% | 0.43 | 0.12 | 10.1x | 80 | 26% |
| Supertrend period=19, mult=2.9 |
7.6% | -82.3% | 0.39 | 0.09 | 14.2x | 256 | 52% |
| Parabolic SAR step=0.015, maxStep=0.06 |
3.0% | -88.8% | 0.25 | 0.03 | 3.0x | 494 | 53% |
| MACD fast=21, slow=54, signal=21 |
-2.0% | -94.6% | 0.08 | -0.02 | 0.5x | 366 | 50% |
| Buy and hold | 8.6% | -92.3% | 0.41 | 0.09 | 20.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 21-day average price crosses above the 186-day average
- Sell — Sell (to cash) when the 21-day average falls below the 186-day average