Trend-Following Backtester · Guide · backtest 한국어
equity · US
Beazer Homes USA, Inc. backtest
10 trend-following strategies were compared on the full daily history of Beazer Homes USA, Inc.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.5%, MDD -67.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.3%, drawdown -99.7%).
Sharpe leader (same as main): Supertrend — CAGR 10.4%, MDD -71.4%, Sharpe 0.45, 51% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 10.1%p higher than buy and hold, while drawdown improves by 28.3%p (CAGR 5.5%, MDD -67.9%, exposure 28%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=9, mult=3.8 |
10.4% | -71.4% | 0.45 | 0.15 | 24.9x | 179 | 51% |
| 볼린저 밴드 돌파 n=27, k=1.3 |
9.6% | -73.3% | 0.44 | 0.13 | 19.7x | 311 | 39% |
| MACD fast=22, slow=67, signal=18 |
7.1% | -92.2% | 0.37 | 0.08 | 9.3x | 286 | 53% |
| EMA 크로스오버 fast=11, slow=27 |
6.0% | -69.6% | 0.34 | 0.09 | 6.6x | 261 | 51% |
| SMA 크로스오버 fast=18, slow=118 |
5.9% | -74.4% | 0.34 | 0.08 | 6.5x | 93 | 52% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=15, mult=2.6 |
5.5% | -67.9% | 0.33 | 0.08 | 5.8x | 147 | 28% |
| Donchian 채널 돌파 entryN=22, exitN=60 |
4.4% | -90.6% | 0.32 | 0.05 | 4.1x | 107 | 70% |
| Parabolic SAR step=0.005, maxStep=0.36 |
4.1% | -82.1% | 0.29 | 0.05 | 3.6x | 263 | 50% |
| ADX / DI 방향성 period=11, threshold=13 |
3.2% | -83.2% | 0.27 | 0.04 | 2.8x | 745 | 50% |
| ROC 모멘텀 n=101, threshold=0.04 |
3.4% | -71.5% | 0.27 | 0.05 | 2.9x | 269 | 48% |
| Buy and hold | 0.3% | -99.7% | 0.30 | 0.00 | 1.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 9-day volatility, 3.8× band
- Sell — Sell when price drops below the trend line (flips down)