Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Brookfield Infrastructure Corporation Class A backtest
10 trend-following strategies were compared on the full daily history of Brookfield Infrastructure Corporation Class A. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.0%, MDD -24.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.7%, drawdown -46.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.5%, MDD -0.5%, Sharpe 0.70, 0% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 7.0%, MDD -24.1%, exposure 83%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.1%p lower than buy and hold, while drawdown improves by 46.1%p (CAGR 7.0%, MDD -24.1%, exposure 83%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=35, threshold=32 |
1.5% | -0.5% | 0.70 | 3.08 | 1.1x | 2 | 0% |
| Donchian 채널 돌파 entryN=18, exitN=78 |
7.0% | -24.1% | 0.40 | 0.29 | 1.5x | 13 | 83% |
| Supertrend period=15, mult=3.2 |
5.2% | -35.3% | 0.36 | 0.15 | 1.4x | 42 | 55% |
| MACD fast=12, slow=17, signal=8 |
3.1% | -33.3% | 0.25 | 0.09 | 1.2x | 130 | 51% |
| 볼린저 밴드 돌파 n=55, k=3.5 |
1.4% | -8.5% | 0.22 | 0.16 | 1.1x | 4 | 9% |
| Parabolic SAR step=0.015, maxStep=0.32 |
2.5% | -28.2% | 0.22 | 0.09 | 1.2x | 110 | 55% |
| EMA 크로스오버 fast=14, slow=20 |
1.0% | -35.3% | 0.15 | 0.03 | 1.1x | 50 | 57% |
| ROC 모멘텀 n=80, threshold=-0.04 |
0.8% | -42.6% | 0.14 | 0.02 | 1.1x | 41 | 66% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=22, mult=3.1 |
0.9% | -30.5% | 0.14 | 0.03 | 1.1x | 18 | 26% |
| SMA 크로스오버 fast=47, slow=110 |
0.4% | -44.1% | 0.12 | 0.01 | 1.0x | 15 | 57% |
| Buy and hold | 7.7% | -46.6% | 0.40 | 0.16 | 1.6x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 35-day) is ≥ 32
- Sell — Sell when direction flips or the trend weakens (ADX < 32)