Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Brookfield Wealth Solutions Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Brookfield Wealth Solutions Ltd. Class A. 8 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.2%, MDD -7.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR -3.1%, drawdown -51.3%).
Sharpe leader (same as main): Parabolic SAR — CAGR 7.2%, MDD -21.7%, Sharpe 0.45, 53% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 10.3%p higher than buy and hold, while drawdown improves by 29.6%p (CAGR 1.2%, MDD -7.4%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.045, maxStep=0.08 |
7.2% | -21.7% | 0.45 | 0.33 | 1.4x | 88 | 53% |
| SMA 크로스오버 fast=34, slow=251 |
5.7% | -40.2% | 0.37 | 0.14 | 1.3x | 2 | 37% |
| EMA 크로스오버 fast=46, slow=218 |
4.8% | -40.2% | 0.33 | 0.12 | 1.3x | 2 | 37% |
| ADX / DI 방향성 period=30, threshold=28 |
1.9% | -8.7% | 0.30 | 0.22 | 1.1x | 4 | 8% |
| Supertrend period=23, mult=1.4 |
4.0% | -25.3% | 0.29 | 0.16 | 1.2x | 101 | 53% |
| 볼린저 밴드 돌파 n=18, k=2.9 |
1.2% | -7.4% | 0.26 | 0.16 | 1.1x | 4 | 3% |
| Donchian 채널 돌파 entryN=84, exitN=69 |
0.3% | -41.1% | 0.15 | 0.01 | 1.0x | 6 | 38% |
| MACD fast=6, slow=35, signal=16 |
0.0% | -31.8% | 0.10 | 0.00 | 1.0x | 84 | 48% |
| ROC 모멘텀 n=109, threshold=0.02 |
-4.7% | -54.7% | -0.07 | -0.09 | 0.8x | 32 | 39% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=12, mult=1.7 |
-7.8% | -44.9% | -0.23 | -0.17 | 0.7x | 28 | 39% |
| Buy and hold | -3.1% | -51.3% | 0.10 | -0.06 | 0.9x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots