Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Bradsaude SA backtest
10 trend-following strategies were compared on the full daily history of Bradsaude SA. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.2%, drawdown -66.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.7%, MDD -53.4%, Sharpe 0.35, 61% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=62, exitN=86 |
5.7% | -53.4% | 0.35 | 0.11 | 3.0x | 25 | 61% |
| ADX / DI 방향성 period=16, threshold=36 |
2.9% | -29.1% | 0.30 | 0.10 | 1.8x | 32 | 8% |
| SMA 크로스오버 fast=26, slow=185 |
4.0% | -54.0% | 0.29 | 0.07 | 2.2x | 37 | 52% |
| EMA 크로스오버 fast=27, slow=117 |
4.0% | -55.9% | 0.28 | 0.07 | 2.2x | 43 | 53% |
| 볼린저 밴드 돌파 n=30, k=3.2 |
2.0% | -31.4% | 0.26 | 0.06 | 1.5x | 22 | 8% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=27, mult=2.2 |
0.2% | -65.8% | 0.11 | 0.00 | 1.0x | 84 | 29% |
| ROC 모멘텀 n=142, threshold=0.05 |
-1.5% | -74.9% | 0.04 | -0.02 | 0.7x | 213 | 43% |
| Supertrend period=18, mult=3.2 |
-2.6% | -79.8% | 0.01 | -0.03 | 0.6x | 106 | 47% |
| Parabolic SAR step=0.015, maxStep=0.04 |
-3.6% | -88.3% | -0.02 | -0.04 | 0.5x | 226 | 51% |
| MACD fast=17, slow=24, signal=12 |
-5.0% | -87.8% | -0.08 | -0.06 | 0.4x | 318 | 50% |
| Buy and hold | 9.2% | -66.7% | 0.43 | 0.14 | 5.7x | 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 62 days
- Sell — Sell when price breaks below the lowest low of the last 86 days