Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Brembo N.V. backtest
10 trend-following strategies were compared on the full daily history of Brembo N.V.. 1 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 9.9%, MDD -59.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.3%, drawdown -82.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.9%, MDD -59.2%, Sharpe 0.47, 79% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 23.1%p (CAGR 9.9%, MDD -59.2%, exposure 79%).
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=22, exitN=82 |
9.9% | -59.2% | 0.47 | 0.17 | 18.9x | 69 | 79% |
| Supertrend period=13, mult=4.4 |
7.6% | -42.4% | 0.43 | 0.18 | 9.6x | 104 | 57% |
| EMA 크로스오버 fast=22, slow=42 |
6.1% | -42.5% | 0.37 | 0.14 | 6.4x | 124 | 56% |
| 볼린저 밴드 돌파 n=49, k=1.5 |
5.4% | -56.7% | 0.36 | 0.10 | 5.1x | 174 | 40% |
| SMA 크로스오버 fast=12, slow=99 |
5.7% | -47.1% | 0.35 | 0.12 | 5.6x | 106 | 55% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=13, mult=3.2 |
2.8% | -34.9% | 0.30 | 0.08 | 2.4x | 68 | 12% |
| ROC 모멘텀 n=112, threshold=0.04 |
3.2% | -65.4% | 0.25 | 0.05 | 2.6x | 249 | 50% |
| MACD fast=17, slow=53, signal=18 |
2.5% | -80.9% | 0.22 | 0.03 | 2.1x | 362 | 49% |
| ADX / DI 방향성 period=17, threshold=24 |
1.3% | -57.9% | 0.16 | 0.02 | 1.5x | 210 | 21% |
| Parabolic SAR step=0.015, maxStep=0.1 |
-0.9% | -70.4% | 0.07 | -0.01 | 0.8x | 510 | 53% |
| Buy and hold | 9.3% | -82.3% | 0.43 | 0.11 | 15.9x | 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 22 days
- Sell — Sell when price breaks below the lowest low of the last 82 days