Trend-Following Backtester · Guide · backtest 한국어
equity · US
Brixmor Property Group Inc. backtest
10 trend-following strategies were compared on the full daily history of Brixmor Property Group Inc.. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.1%, MDD -14.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 2.7%, drawdown -72.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.3%, MDD -17.6%, Sharpe 0.42, 11% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 4.3%, MDD -34.1%, exposure 62%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 55.2%p (CAGR 3.1%, MDD -14.5%, exposure 14%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=59, k=3.5 |
3.3% | -17.6% | 0.42 | 0.19 | 1.5x | 10 | 11% |
| ADX / DI 방향성 period=23, threshold=23 |
3.1% | -14.5% | 0.41 | 0.22 | 1.5x | 24 | 14% |
| Donchian 채널 돌파 entryN=49, exitN=60 |
4.3% | -34.1% | 0.30 | 0.13 | 1.7x | 26 | 62% |
| EMA 크로스오버 fast=21, slow=106 |
3.0% | -34.3% | 0.26 | 0.09 | 1.5x | 34 | 56% |
| SMA 크로스오버 fast=48, slow=154 |
3.2% | -34.9% | 0.26 | 0.09 | 1.5x | 23 | 56% |
| ROC 모멘텀 n=6, threshold=0.13 |
1.4% | -15.3% | 0.21 | 0.09 | 1.2x | 12 | 1% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=14, mult=3.6 |
1.6% | -27.9% | 0.20 | 0.06 | 1.2x | 22 | 16% |
| Supertrend period=22, mult=4.5 |
1.2% | -42.0% | 0.16 | 0.03 | 1.2x | 38 | 53% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-5.0% | -65.0% | -0.15 | -0.08 | 0.5x | 116 | 54% |
| MACD fast=8, slow=43, signal=17 |
-6.0% | -65.4% | -0.16 | -0.09 | 0.5x | 214 | 50% |
| Buy and hold | 2.7% | -72.8% | 0.24 | 0.04 | 1.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 59-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 59-day middle average