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 10.0%, drawdown -66.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.5%, MDD -53.4%, Sharpe 0.37, 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 |
6.5% | -53.4% | 0.37 | 0.12 | 3.4x | 25 | 61% |
| SMA 크로스오버 fast=26, slow=185 |
4.8% | -54.0% | 0.32 | 0.09 | 2.5x | 37 | 52% |
| EMA 크로스오버 fast=27, slow=117 |
4.8% | -55.9% | 0.31 | 0.09 | 2.5x | 43 | 52% |
| ADX / DI 방향성 period=16, threshold=36 |
2.9% | -29.1% | 0.30 | 0.10 | 1.8x | 32 | 8% |
| 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 |
0.8% | -65.8% | 0.14 | 0.01 | 1.2x | 83 | 29% |
| ROC 모멘텀 n=142, threshold=0.05 |
-0.9% | -74.9% | 0.07 | -0.01 | 0.8x | 213 | 43% |
| Supertrend period=18, mult=3.2 |
-2.1% | -79.8% | 0.03 | -0.03 | 0.7x | 105 | 47% |
| Parabolic SAR step=0.015, maxStep=0.04 |
-3.0% | -88.3% | -0.00 | -0.03 | 0.5x | 225 | 51% |
| MACD fast=17, slow=24, signal=12 |
-4.5% | -87.8% | -0.06 | -0.05 | 0.4x | 316 | 50% |
| Buy and hold | 10.0% | -66.7% | 0.45 | 0.15 | 6.5x | 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