Trend-Following Backtester · Guide · backtest 한국어
equity · US
BrightSpire Capital, Inc. backtest
10 trend-following strategies were compared on the full daily history of BrightSpire Capital, Inc.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.3%, MDD -10.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -15.3%, drawdown -87.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.1%, MDD -27.1%, Sharpe 0.33, 15% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 19.4%p higher than buy and hold, while drawdown improves by 60.7%p (CAGR -0.3%, MDD -10.8%, exposure 5%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=137, threshold=0.14 |
4.1% | -27.1% | 0.33 | 0.15 | 1.4x | 62 | 15% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=29, mult=3.3 |
1.1% | -11.4% | 0.20 | 0.10 | 1.1x | 4 | 2% |
| MACD fast=7, slow=37, signal=19 |
1.1% | -49.6% | 0.19 | 0.02 | 1.1x | 138 | 49% |
| 볼린저 밴드 돌파 n=32, k=3.5 |
0.8% | -13.8% | 0.15 | 0.06 | 1.1x | 4 | 3% |
| Supertrend period=15, mult=2.7 |
-4.0% | -61.8% | 0.07 | -0.07 | 0.7x | 60 | 52% |
| Parabolic SAR step=0.01, maxStep=0.2 |
-4.9% | -67.3% | -0.01 | -0.07 | 0.7x | 110 | 47% |
| ADX / DI 방향성 period=14, threshold=35 |
-0.3% | -10.8% | -0.03 | -0.03 | 1.0x | 16 | 5% |
| SMA 크로스오버 fast=9, slow=217 |
-2.2% | -43.8% | -0.04 | -0.05 | 0.8x | 18 | 31% |
| Donchian 채널 돌파 entryN=103, exitN=52 |
-2.8% | -38.4% | -0.08 | -0.07 | 0.8x | 8 | 31% |
| EMA 크로스오버 fast=50, slow=138 |
-5.9% | -52.7% | -0.26 | -0.11 | 0.6x | 16 | 32% |
| Buy and hold | -15.3% | -87.8% | -0.07 | -0.17 | 0.2x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 137-day return is greater than 14%
- Sell — Sell when the 137-day return drops to 14% or below