Trend-Following Backtester · Guide · backtest 한국어
equity · US
Brinker International, Inc. backtest
10 trend-following strategies were compared on the full daily history of Brinker International, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.7%, MDD -66.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.8%, drawdown -88.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.7%, MDD -66.0%, Sharpe 0.56, 69% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 22.8%p (CAGR 13.7%, MDD -66.0%, exposure 69%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=19, exitN=37 |
13.7% | -66.0% | 0.56 | 0.21 | 232.9x | 161 | 69% |
| SMA 크로스오버 fast=20, slow=144 |
11.2% | -48.6% | 0.53 | 0.23 | 92.8x | 99 | 60% |
| EMA 크로스오버 fast=33, slow=97 |
10.5% | -56.4% | 0.51 | 0.19 | 71.0x | 93 | 61% |
| Supertrend period=11, mult=4.8 |
9.1% | -61.0% | 0.45 | 0.15 | 40.9x | 159 | 58% |
| MACD fast=23, slow=74, signal=32 |
8.1% | -66.3% | 0.42 | 0.12 | 27.8x | 311 | 51% |
| ROC 모멘텀 n=73, threshold=0.02 |
7.8% | -70.1% | 0.42 | 0.11 | 24.6x | 455 | 54% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=16, mult=2.5 |
6.1% | -64.3% | 0.38 | 0.09 | 12.3x | 201 | 40% |
| 볼린저 밴드 돌파 n=56, k=1.2 |
6.4% | -79.2% | 0.38 | 0.08 | 14.1x | 251 | 46% |
| ADX / DI 방향성 period=20, threshold=19 |
4.0% | -64.3% | 0.29 | 0.06 | 5.3x | 357 | 33% |
| Parabolic SAR step=0.015, maxStep=0.24 |
-2.8% | -96.1% | 0.04 | -0.03 | 0.3x | 741 | 54% |
| Buy and hold | 13.8% | -88.8% | 0.52 | 0.16 | 242.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 19 days
- Sell — Sell when price breaks below the lowest low of the last 37 days