Trend-Following Backtester · Guide · backtest 한국어
equity · US
Bruker Corporation backtest
10 trend-following strategies were compared on the full daily history of Bruker Corporation. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.6%, MDD -50.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 3.6%, drawdown -94.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.7%, MDD -65.6%, Sharpe 0.41, 72% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.1%p higher than buy and hold, while drawdown improves by 29.3%p (CAGR 4.6%, MDD -50.7%, exposure 57%).
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=31, exitN=75 |
8.7% | -65.6% | 0.41 | 0.13 | 8.9x | 53 | 72% |
| SMA 크로스오버 fast=25, slow=187 |
4.6% | -50.7% | 0.30 | 0.09 | 3.2x | 43 | 57% |
| Supertrend period=10, mult=4.1 |
4.4% | -86.0% | 0.30 | 0.05 | 3.1x | 96 | 52% |
| EMA 크로스오버 fast=28, slow=105 |
3.2% | -62.0% | 0.26 | 0.05 | 2.3x | 75 | 55% |
| 볼린저 밴드 돌파 n=57, k=1.1 |
2.8% | -57.9% | 0.24 | 0.05 | 2.1x | 156 | 45% |
| ROC 모멘텀 n=126, threshold=0.01 |
2.5% | -75.9% | 0.24 | 0.03 | 1.9x | 185 | 59% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=19, mult=1.9 |
2.3% | -80.6% | 0.22 | 0.03 | 1.8x | 124 | 40% |
| MACD fast=18, slow=53, signal=19 |
0.4% | -82.7% | 0.19 | 0.00 | 1.1x | 266 | 51% |
| ADX / DI 방향성 period=25, threshold=11 |
-0.1% | -83.9% | 0.16 | -0.00 | 1.0x | 313 | 49% |
| Parabolic SAR step=0.02, maxStep=0.1 |
-4.2% | -85.7% | 0.06 | -0.05 | 0.3x | 495 | 51% |
| Buy and hold | 3.6% | -94.8% | 0.34 | 0.04 | 2.5x | 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 31 days
- Sell — Sell when price breaks below the lowest low of the last 75 days